[{"data":1,"prerenderedAt":-1},["ShallowReactive",2],{"detail-sidebar-cat-0-en-105":3,"doc-seo-348188-105":59,"doc-detail-348188-en":130},{"code":4,"msg":5,"data":6},0,"success",[7,13,18,23,28,33,38,43,48,51,55],{"id":8,"doc_module":4,"doc_module_name":9,"category_name":10,"show_sort_weight":11,"slug":12},1,"Document","Story & Novel",90,"story-novel",{"id":14,"doc_module":4,"doc_module_name":9,"category_name":15,"show_sort_weight":16,"slug":17},2,"Literature",80,"literature",{"id":19,"doc_module":4,"doc_module_name":9,"category_name":20,"show_sort_weight":21,"slug":22},4,"Exam",70,"exam",{"id":24,"doc_module":4,"doc_module_name":9,"category_name":25,"show_sort_weight":26,"slug":27},5,"Comic",60,"comic",{"id":29,"doc_module":4,"doc_module_name":9,"category_name":30,"show_sort_weight":31,"slug":32},6,"Technology",50,"technology",{"id":34,"doc_module":4,"doc_module_name":9,"category_name":35,"show_sort_weight":36,"slug":37},7,"Healthcare",40,"healthcare",{"id":39,"doc_module":4,"doc_module_name":9,"category_name":40,"show_sort_weight":41,"slug":42},8,"Research & Report",30,"research-report",{"id":44,"doc_module":4,"doc_module_name":9,"category_name":45,"show_sort_weight":46,"slug":47},9,"Religion & Spirituality",20,"religion-spirituality",{"id":46,"doc_module":4,"doc_module_name":9,"category_name":49,"show_sort_weight":46,"slug":50},"World Cup","world-cup",{"id":52,"doc_module":4,"doc_module_name":9,"category_name":53,"show_sort_weight":52,"slug":54},10,"Lifestyle","lifestyle",{"id":56,"doc_module":4,"doc_module_name":9,"category_name":57,"show_sort_weight":24,"slug":58},19,"General","general",{"code":4,"msg":60,"data":61},"ok",{"site_id":62,"language":63,"slug":64,"title":65,"keywords":66,"description":67,"schema_data":68,"social_meta":123,"head_meta":125,"extra_data":127,"updated_unix":129},105,"en","working-paper-series-no-18-july-2016-cyclical-investment-behavior-across-financial-institutions","Working Paper Series No 18 - July 2016 - Cyclical investment behavior across financial institutions","","This paper examines how different financial institutions invest in debt securities in response to price changes, using security-level holdings data from the German Microdatabase Securities Holdings Statistics for 2005 Q4–2014 Q4. Results show banks and investment funds behave pro-cyclically, buying rising-premium securities and selling discount-falling securities. In contrast, insurance companies and pension funds are contrarian and counter-cyclical, buying when prices fall and selling when prices rise. The counter-cyclical pattern may stabilize markets, while balance-sheet heterogeneity can amplify dynamics, making investor base monitoring crucial for financial stability.",{"@graph":69,"@context":122},[70,84,105],{"@type":71,"itemListElement":72},"BreadcrumbList",[73,77,79,82],{"item":74,"name":75,"@type":76,"position":8},"https://docshare.wps.com","Home","ListItem",{"item":78,"name":9,"@type":76,"position":14},"https://docshare.wps.com/document/",{"item":80,"name":40,"@type":76,"position":81},"https://docshare.wps.com/document/research-report/",3,{"item":83,"name":65,"@type":76,"position":19},"https://docshare.wps.com/document/working-paper-series-no-18-july-2016-cyclical-investment-behavior-across-financial-institutions/348188/",{"url":83,"name":65,"@type":85,"image":86,"author":91,"headline":65,"publisher":94,"fileFormat":97,"inLanguage":63,"description":67,"dateModified":98,"datePublished":99,"encodingFormat":97,"isAccessibleForFree":100,"interactionStatistic":101},"DigitalDocument",{"url":87,"@type":88,"width":89,"height":90},"https://docshare.wps.com/thumbnails/working-paper-series-no-18-july-2016-cyclical-investment-behavior-across-financial-institutions/348188.png","ImageObject",300,407,{"name":92,"@type":93},"Aurelia","Person",{"url":74,"name":95,"@type":96},"DocShare","Organization","application/pdf","2026-09-23","2026-09-22",true,{"@type":102,"interactionType":103,"userInteractionCount":14},"InteractionCounter",{"@type":104},"ViewAction",{"@type":106,"mainEntity":107},"FAQPage",[108,114,118],{"name":109,"@type":110,"acceptedAnswer":111},"Which institutions show pro-cyclical investment behavior in debt securities?","Question",{"text":112,"@type":113},"Banks and investment funds respond pro-cyclically to price changes, buying when prices rise and selling when prices fall.","Answer",{"name":115,"@type":110,"acceptedAnswer":116},"How do insurance companies and pension funds invest when prices decline?",{"text":117,"@type":113},"Insurance companies and pension funds are contrarian: they buy securities when prices fall and sell when prices rise.",{"name":119,"@type":110,"acceptedAnswer":120},"Why is monitoring investor bases and balance sheets important for financial stability?",{"text":121,"@type":113},"The paper argues that institutions with impermanent balance sheet characteristics may exacerbate price dynamics, so tracking both investor bases and leverage/non-leverage balance sheets is crucial for stability.","https://schema.org",{"og:url":83,"og:type":124,"og:title":65,"og:site_name":95,"og:description":67},"article",{"robots":126,"canonical":83},"index,follow",{"doc_id":128,"site_id":62},348188,1790162027,{"code":4,"msg":5,"data":131},{"doc_id":128,"user_id":132,"nickname":92,"user_avatar":133,"doc_module":4,"category_id":39,"category_name":40,"doc_title":65,"doc_description":67,"doc_content":134,"file_id":135,"file_url":136,"file_type":137,"file_size":138,"view_count":14,"is_deleted":4,"is_public":8,"is_downloadable":8,"audit_status":8,"page_count":139,"language":140,"language_code":63,"site_id":62,"html_lang":63,"table_of_contents":141,"faqs":142,"seo_title":143,"seo_description":67,"update_tm":144,"read_time":145},1099514068365,"https://ap-avatar.wpscdn.com/avatar/10000253d8d9f28188e?_k=1776742907772140068","Working Paper Series No 18 / July 2016  \nCyclical investment behavior across financial institutions  \nby  \nYannick Timmer  \nAbstract  \nThis paper examines the investment behavior of di􀀋erent 􀀌nancial institutions in debt securities with a particular focus on their response to price changes. For identi􀀌cation, we use security-level data from the German Microdatabase Securities Holdings Statistics. Our results suggest that banks and investment funds may destabilize the market by responding in a pro-cyclical manner to price changes. In contrast, insurance companies and pension funds buy securities when their prices fall and vice versa. While investment funds and banks sell securities that are trading at a discount and whose prices are falling, they buy securities that are trading at premium and whose prices are rising. The opposite is the case for insurance companies and pension funds. This counter-cyclical investment behavior of insurance companies and pension funds may stabilize markets whenever prices have been pushed away from fundamentals. Since our results suggest that institutions with impermanent balance sheet characteristics may exacerbate price dynamics, it is of crucial importance for 􀀌nancial stability to monitor the investor base as well as the balance sheets of both levered and non-levered investors.  \nKeywords: Cyclicality, Portfolio Allocation, Financial Stability, Debt Capital Flows  \nJEL classi􀀌cation: F32, G11, G15, G20 .  \n1 Introduction  \nTheory yields a variety of predictions on the buying behavior of capital market participants. The standard e􀀎cient market hypothesis claims that asset prices must re􀀍ect all available information due to the existence of arbitrageurs (Fama, 1965; Friedman, 1953) . While banks may be forced to sell undervalued assets due to margin calls, non-levered institutional investors may stabilize the market by buying up 􀀌re-sold assets in order to bene􀀌t from future price gains (Shleifer and Vishny, 1992) . DeLong et al. (1990b) show that it may be rational to buy when prices rise and sell when prices fall so that prices can be pushed away from fundamental values. Despite its importance for macro-prudential policy and 􀀌nancial stability, empirical evidence on who buys when prices are falling has been elusive due to the lack of granular data.  \nIn order to shed more light on the question of how various institutional investors respond to price changes, security-level data is indispensable. For the identi􀀌cation, we use con􀀌dential security-by-security holdings data provided by the Deutsche Bundesbank (the German central bank) covering the period from 2005 Q4 until 2014 Q4 . For every single security that is held in Germany we have data on the amount held by each sector. For instance, we know that banks in Germany hold an amount X of security Z in quarter t. To the best of my knowledge, this study is the 􀀌rst that uses the security level data of the German Microdatabase Security Holdings statistics for bank and non-bank 􀀌nancial institutions and their investment behavior in debt securities.1 The holdings include both foreign and domestic as well as government and corporate securities. For the purpose of this study, we focus on the buying behavior of the three largest groups of institutional investors: banks; investment funds; and insurance companies and pension funds. Examining the three sectors jointly is essential because this setting allows us to compare the investment behavior for a homogenous investment horizon. In particular, we can investigate the investment behavior of banks, investment funds and insurance companies and pension funds in the same security at a given point in time. This would not have been possible if we compared the investment behavior between di􀀋erent datasets.  \nThe availability of security-level data also allows us to make comparisons between securities within the same asset class and to observe idiosyncratic price movements. By including security 􀀌xed e􀀋ects, we","cbCairlXNSiCGCGm","https://ap.wps.com/l/cbCairlXNSiCGCGm","pdf",561859,36,"English","# Abstract\n# 1 Introduction\n## Background and theory\n## Data and identification strategy\n## Empirical findings","[{\"question\":\"Which institutions show pro-cyclical investment behavior in debt securities?\",\"answer\":\"Banks and investment funds respond pro-cyclically to price changes, buying when prices rise and selling when prices fall.\"},{\"question\":\"How do insurance companies and pension funds invest when prices decline?\",\"answer\":\"Insurance companies and pension funds are contrarian: they buy securities when prices fall and sell when prices rise.\"},{\"question\":\"Why is monitoring investor bases and balance sheets important for financial stability?\",\"answer\":\"The paper argues that institutions with impermanent balance sheet characteristics may exacerbate price dynamics, so tracking both investor bases and leverage/non-leverage balance sheets is crucial for stability.\"}]","Working Paper Series No 18 - July 2016 - Cyclical investment behavior across financial institutions | PDF",1790071634,91]