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Autor:innen: 
Erscheinungsjahr: 
2021
Schriftenreihe/Nr.: 
Deutsche Bundesbank Discussion Paper No. 09/2021
Verlag: 
Deutsche Bundesbank, Frankfurt a. M.
Zusammenfassung: 
Mutual fund risk-taking via active portfolio rebalancing varies both in the cross- section and over time. In this paper, I show that the same is true for funds' off- balance sheet risk-taking, even after controlling for on-balance sheet activities. For this purpose, I propose a novel measure of synthetic leverage, which can be estimated based on publicly available information. In the empirical application, I show that German equity funds have increased their risk-taking via synthetic leverage from mid-2015 up until early 2019. In the cross-section, I find that synthetically leveraged funds tend to underperform and display higher levels of fragility.
Schlagwörter: 
leverage
risk-taking
derivatives
securities lending
mutual funds
JEL: 
E44
G11
G23
ISBN: 
978-3-95729-817-1
Dokumentart: 
Working Paper
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