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回报，但仍然不知道谁持有特定的证券。德意志联邦银行新建立的证券持有量统计数据库为分析在德国持有的证券的所有权结构提供了独特的机会。这个研究项目的目的是调查投资者的证券持有量--多头和空头头寸--是如何与证券价格相关的。尽管普遍看法认为，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知之甚少。例如，哪些投资者更愿意承担风险，哪些投资者不太愿意这样做？此外，在整个商业周期中，风险承担以及证券的所有权结构是如何变化的，以及这种变化如何体现为风险溢价？通过研究私人投资者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上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证券(做多)，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--不需要或只需要很少的成本。2008/2009年的金融危机表明，卖空限制比之前认为的更重要。这些限制可能会限制套利，并导致错误的资产定价。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为了稳定金融体系，在一定程度上限制了卖空。我们的目标是调查卖空是否以及在多大程度上正在破坏稳定，或者它们在纳入信息和提供流动性方面的重要性程度。持有量数据让我们能够区分回补卖空和未担保/裸卖空，前者是指投资者在抛售之前借入证券，后者是指投资者事先不借入证券。尤其值得一提的是，无担保卖空的有用性存在争议。此外，我们打算研究银行间的不信任是否导致证券借贷减少，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.