Procyclical asset management and bond risk premia
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- Barbu, Alexandru & Fricke, Christoph & Moench, Emanuel, 2021. "Procyclical asset management and bond risk premia," ESRB Working Paper Series 116, European Systemic Risk Board.
- Barbu, Alexandru & Fricke, Christoph & ,, 2020. "Procyclical Asset Management and Bond Risk Premia," CEPR Discussion Papers 15123, C.E.P.R. Discussion Papers.
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- Ryan, Ellen, 2022. "Are fund managers rewarded for taking cyclical risks?," Working Paper Series 2652, European Central Bank.
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More about this item
Keywords
institutional funds; institutional accounts; procyclical asset management; portfolio rebalancing; price impact; demand pressures; asset price volatility; career concerns;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MAC-2020-09-14 (Macroeconomics)
- NEP-RMG-2020-09-14 (Risk Management)
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