Search Results

SORT BY: PREVIOUS / NEXT
Jel Classification:G11 

Working Paper
Mortgage Choice in the Housing Boom: Impacts of House Price Appreciation and Borrower Type

The U.S. housing boom during the first part of the past decade was marked by rapid house price appreciation and greater access to mortgage credit for lower credit-rated borrowers. The subsequent collapse of the housing market and the high default rates on residential mortgages raise the issue of whether the pace of house price appreciation and the mix of borrowers may have affected the influence of fundamentals in housing and mortgage markets. This paper examines that issue in connection with one aspect of mortgage financing, the choice among fixed-rate and adjustable-rate mortgages. This ...
Working Paper Series , Paper 2014-5

Working Paper
Measuring the Liquidity Profile of Mutual Funds

We measure the liquidity profile of open-end mutual funds using the sensitivity of their daily returns to aggregate liquidity. We study how this sensitivity changes around real-activity macroeconomic announcements that reveal large surprises about the state of the economy and after three relevant market events: Bill Gross's departure from PIMCO, Third Avenue Focused Credit Fund's suspension of redemptions, and the effect of Lehman Brothers' collapse on Neuberger Berman. Results show that, following negative news, the sensitivity to aggregate liquidity increases for less-liquid mutual funds, ...
Finance and Economics Discussion Series , Paper 2019-055

Working Paper
Asset Manager Commonality and Portfolio Similarity

Asset managers are increasingly influential in financial markets. We use new regulatory as well as manually collected data on asset managers of life insurers, the largest institutional investors of corporate bonds, and find that insurers with the same asset managers have more similar portfolios and trades. This similarity increases further if the asset manager actively oversees the majority of both insurers’ assets. Moreover, the effect intensifies the longer insurers share the same asset manager. Nevertheless, the effect is primarily driven by purchases rather than sales and the resulting ...
Working Papers , Paper 2515

Working Paper
Differential Treatment in the Bond Market: Sovereign Risk and Mutual Fund Portfolios

How does sovereign risk affect investors' behavior? We answer this question using a novel database that combines sovereign default probabilities for 27 developed and emerging markets with monthly data on the portfolios of individual bond mutual funds. We first show that changes in yields do not fully compensate investors for additional sovereign risk, so that bond funds reduce their exposure to a country's assets when its sovereign default risk increases. However, the magnitude of the response varies widely across countries. Fund managers aggressively reduce their exposure to high-debt ...
International Finance Discussion Papers , Paper 1261

Working Paper
Sluggish news reactions: A combinatorial approach for synchronizing stock jumps

Stock prices often react sluggishly to news, producing gradual jumps and jump delays. Econometricians typically treat these sluggish reactions as microstructure effects and settle for a coarse sampling grid to guard against them. Synchronizing mistimed stock returns on a fine sampling grid allows us to better approximate the true common jumps in related stock prices.
Working Papers , Paper 2024-006

Report
Worker Betas: Five Facts about Systematic Earnings Risk

The magnitude of and heterogeneity in systematic earnings risk has important implications for various theories in macro, labor, and ?nancial economics. Using administrative data, we document how the aggregate risk exposure of individual earnings to GDP and stock returns varies across gender, age, the worker?s earnings level, and industry. Aggregate risk exposure is U-shaped with respect to the earnings level. In the middle of the earnings distribution, aggregate risk exposure is higher for males, younger workers, and those in construction and durable manufacturing. At the top of the earnings ...
Staff Report , Paper 546

Journal Article
Considerations on ESG Investment Implementation

Although interest in investing according to environmental, social, and corporate governance (ESG) standards is widespread, investment managers face a number of basic considerations with their portfolio choices. In this article, I give a high-level overview of these considerations within the context of the investor motivation: ESG values, ESG value, or both. These considerations include whether investors should exclude certain firms or use a positive tilt; how they could integrate ESG into an investment approach; the role of third-party ESG ratings; how they should measure and report their ...
Policy Hub , Volume 2022 , Issue 7

Working Paper
Insurers’ Investments and Insurance Prices

We develop a theory that connects insurance prices, insurance companies’ investment behavior, and equilibrium asset prices. Consistent with the model’s predictions, we show empirically that (1) insurers with more stable insurance funding take more investment risk and, therefore, earn higher average investment returns; (2) insurers set lower prices on policies when expected investment returns are higher, both in the cross-section of insurance companies and in the time series. Our results hold for both life insurance and property and casualty insurance companies. The findings show that ...
Finance and Economics Discussion Series , Paper 2024-058

Working Paper
Monetary Policy Implementation and Private Repo Displacement : Evidence from the Overnight Reverse Repurchase Facility

In recent years, the scale and scope of major central banks' intervention in financial markets has expanded in unprecedented ways. In this paper, we demonstrate how monetary policy implementation that relies on such intervention in financial markets can displace private transactions. Specifically, we examine the experience with the Federal Reserve's newest policy tool, known as the overnight reverse repurchase (ONRRP) facility, to understand its effects on the repo market. Using exogenous variation in the parameters of the ONRRP facility, we show that participation in the ONRRP comes from ...
Finance and Economics Discussion Series , Paper 2016-096

Working Paper
Returns to Active Management: The Case of Hedge Funds

Do more active hedge fund managers generate higher returns than their less active peers? We attempt to answer this question. Using Kalman Filter techniques, we estimate the risk exposure dynamics of a large sample of live and dead equity long-short hedge funds. These estimates are then used to develop a measure of activeness for each hedge fund. Our results show that there exists a nonlinear relationship between activeness and performance. Using raw returns as a measure of performance, it is found that more active funds outperform the less active ones. However, when risk adjusted returns are ...
International Finance Discussion Papers , Paper 1112

FILTER BY year

FILTER BY Content Type

Working Paper 147 items

Report 19 items

Journal Article 12 items

Newsletter 3 items

Discussion Paper 2 items

Conference Paper 1 items

show more (2)

FILTER BY Author

Athreya, Kartik B. 13 items

Mather, Ryan 9 items

Mustre-del-Rio, Jose 9 items

Sanchez, Juan M. 9 items

Anadu, Kenechukwu E. 7 items

Kruttli, Mathias S. 6 items

show more (319)

FILTER BY Jel Classification

G12 61 items

G21 31 items

G23 30 items

E44 24 items

E21 22 items

show more (134)

FILTER BY Keywords

Portfolio choice 10 items

Consumption 8 items

Bankruptcy 7 items

Delinquency 7 items

Mortgage 7 items

Financial Distress 6 items

show more (495)

PREVIOUS / NEXT