Journal of Financial Economics·Volume 129, Issue 2·August 2018

金融机构的周期性投资行为

作者：Yannick Timmer（Department of Economics, Trinity College Dublin）

摘要：本文将不同金融机构在债券中的投资行为作为对过去回报的回应进行对比。为了识别，我们使用来自德国Microdatabase Securities Holdings Statistics的独特安全级别数据。银行和投资基金以顺周期的方式回应过去特定证券持有期的回报。相反，保险公司和养老基金采取反周期行动；他们在回报为负时购买，在高回报后卖出。异质响应可以通过其资产负债表结构的差异来解释。本文利用财务约束中的行业内变化来表明更严格的约束与相对更加顺周期的投资行为相关联。

关键词：投资组合配置，投资行为，金融市场，债券，资产负债表限制

Cyclical investment behavior across financial institutions

Yannick Timmer（Department of Economics, Trinity College Dublin）

ABSTRACT

This paper contrasts the investment behavior of different financial institutions in debt securities as a response to past returns. For identification, I use unique security-level data from the German Microdatabase Securities Holdings Statistics. Banks and investment funds respond in a procyclical manner to past security-specific holding period returns. In contrast, insurance companies and pension funds act countercyclically; they buy when returns have been negative and sell after high returns. The heterogeneous responses can be explained by differences in their balance sheet structure. I exploit within-sector variation in the financial constraint to show that tighter constraints are associated with relatively more procyclical investment behavior.

Keywords: Portfolio allocation, Investment behavior, Financial markets, Debt securities, Balance sheet constraints

原文链接：https://www.sciencedirect.com/science/article/pii/S0304405X18301119

翻译：何杉