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on International Finance |
| By: | Martijn Boermans; Robert Vermeulen |
| Abstract: | In this paper we show empirically how international investment positions are determined by investor heterogeneity and individual security characteristics. We do so by estimating a gravity model with newly available data that contains both domestic and international holdings of individual sectors from euro area countries in individual bonds and stocks. The five holding sectors (banks, insurers, pension funds, investment funds and households) all face barriers to international investments, but these differ both across sectors and between their bond and stock holdings. Furthermore, individual security characteristics affect portfolio choice across investors differently. For bonds we find that currency denomination, coupon type, maturity and eligibility as collateral for ECB transactions stand out. For equities we find that market values, currency denomination and dividend payments are important. Since holder sectors vary in size across countries we posit that cross-country differences in sectoral composition may lead to different transmission effects of financial shocks. |
| Keywords: | international investment patterns; investor heterogeneity; securities holdings statistics |
| JEL: | F36 G11 G15 G20 |
| Date: | 2016–11 |
| URL: | http://d.repec.org/n?u=RePEc:dnb:dnbwpp:531&r=ifn |
| By: | Craig, Ben R. (Federal Reserve Bank of Cleveland); Saldias Zambrana, Martin (International Monetary Fund) |
| Abstract: | This paper computes data-driven correlation networks based on the stock returns of international banks and conducts a comprehensive analysis of their topological properties. We first apply spatial-dependence methods to filter the effects of strong common factors and a thresholding procedure to select the significant bilateral correlations. The analysis of topological characteristics of the resulting correlation networks shows many common features that have been documented in the recent literature but were obtained with private information on banks’ exposures. Our analysis validates these market-based adjacency matrices as inputs for the spatio-temporal analysis of shocks in the banking system. |
| Keywords: | Network analysis; spatial dependence; banking; |
| JEL: | C21 C23 C45 G21 |
| Date: | 2016–12–02 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedcwp:1627&r=ifn |
| By: | Juhani T. Linnainmaa; Michael R. Roberts |
| Abstract: | Using data spanning the 20th century, we show that most accounting-based return anomalies are spurious. When examined out-of-sample by moving either backward or forward in time, anomalies' average returns decrease, and volatilities and correlations with other anomalies increase. The data-snooping problem is so severe that even the true asset pricing model is expected to be rejected when tested using in-sample data. Our results suggest that asset pricing models should be tested using out-of-sample data or, when not feasible, by whether a model is able to explain half of the in-sample alpha. |
| JEL: | G11 G12 G14 |
| Date: | 2016–12 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:22894&r=ifn |