Security ownership and asset prices: An analysis of heterogeneous investors

在金融市场中，通常只观察证券的价格和收益，但谁持有特定的证券仍然是未知的。德意志联邦银行新建立的证券持有统计数据库为分析德国持有的证券的所有权结构提供了独特的机会。本研究项目的目的是调查投资者的证券持有-多头和空头头寸-与证券价格的关系。尽管普遍的看法认为，金融市场使参与者能够分担风险，但人们对风险究竟是如何分担的却知之甚少。例如，哪些投资者更愿意承担风险，哪些不太愿意这样做？此外，在商业周期中，风险承担以及证券的所有权结构是如何变化的，这又是如何在风险溢价中表现出来的？通过研究私人和机构投资者的偏好和持股，我们打算更好地了解股票价格以及市场中风险溢价是如何形成的。金融市场的一个基本特征是，投资者不仅可以拥有一种证券（做多），而且还可以出售他们不拥有的证券（做空）。 金融模型中的一个普遍假设是，投资者可以在任何时候做空证券--没有成本或成本很低。2008/2009年的金融危机表明，短期销售限制比以前认为的更重要。这些限制可能会限制套利，并导致资产的错误定价。鉴于金融危机，卖空成为公众辩论的中心，世界各地的监管机构部分限制卖空，目的是稳定金融体系。我们的目的是调查卖空是否以及在多大程度上破坏了稳定，或者卖空在多大程度上对整合信息和提供流动性很重要。持有量数据使我们能够区分有备卖空（投资者在卖出前借入证券）和无备/裸卖空（投资者事先不借入证券）。特别是无担保卖空的有用性是有争议的。此外，我们打算研究银行之间的不信任是否导致了证券借贷的减少，以及其对卖空和市场流动性的影响。

In financial markets generally only security prices and returns are observed, but it remains unknown who holds a specific security. The newly established Securities Holdings Statistics database of the Deutsche Bundesbank provides the unique opportunity to analyze the ownership structure of securities held in Germany. The objective of this research project is to investigate how investors' security holdings - long as well as short positions - are related to security prices. Whereas general wisdom suggests that financial markets enable participants to share risks, it is less known how exactly risks are shared. For example, which investors are more willing to hold risk and which are less willing to do so? Moreover, how does risk taking and thus the ownership structure of securities change over the business cycle and how does this manifest itself in risk premia? By studying the preferences and holdings of private as well as institutional investors we intend to achieve a better understanding of equity prices and how risk premia are formed in the market. An essential feature of financial markets is that investors can not only own a security (go long), but investors can also sell securities that they do not own (go short). A prevailing assumption in finance models is that investors can short a security at any time - at no or only little costs. The financial crisis of 2008/2009 has shown that short sale constraints are more important than previously thought. These constrains can limit arbitrage and lead to a mis-pricing of assets. In the light of the financial crisis short sales came to the center of the public debate and regulators around the world partly restricted short sales with the aim of stabilizing the financial system. Our aim is to investigate, if and to what degree short sales are de-stabilizing or to what degree they are important to incorporate information and provide liquidity. The holdings data allow us to distinguish between covered short sales, where investors borrow a security before selling, and uncovered/naked short sales, where investors do not borrow the security beforehand. In particular the usefulness of uncovered short sales is controversial. Furthermore, we intend to study whether mistrust among banks has led to a decline in security lending and its implications for short sales and market liquidity.