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International investment positions revisited: Investor heterogeneity and individual security characteristics

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  • Martijn A. Boermans
  • Robert Vermeulen

Abstract

This paper contributes to the literature by empirically documenting the importance of investor heterogeneity and security level characteristics for international investment positions. We estimate a standard gravity model to explain holdings in individual bonds and stocks for euro area investors covering 2013Q4–2018Q4. First, our results confirm the importance of market size and distance, but there are significant differences between banks, insurance companies and pension funds, investment funds, households and other investors. Second, we show the statistical significance and economic relevance of security characteristics such as currency, bond maturity and dividend yield. Third, the results are robust to including domestic holdings.

Suggested Citation

  • Martijn A. Boermans & Robert Vermeulen, 2020. "International investment positions revisited: Investor heterogeneity and individual security characteristics," Review of International Economics, Wiley Blackwell, vol. 28(2), pages 466-496, May.
  • Handle: RePEc:bla:reviec:v:28:y:2020:i:2:p:466-496
    DOI: 10.1111/roie.12460
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    1. Martijn Boermans & Bram van der Kroft, 2020. "Capital regulation induced reaching for systematic yield: Financial instability through fire sales," Working Papers 673, DNB.
    2. Carvalho, Daniel & Schmitz, Martin, 2021. "Shifts in the portfolio holdings of euro area investors in the midst of COVID-19: looking-through investment funds," Working Paper Series 2526, European Central Bank.
    3. Pelizzon, Loriana & Riedel, Max & Simon, Zorka & Subrahmanyam, Marti G., 2020. "Collateral eligibility of corporate debt in the Eurosystem," SAFE Working Paper Series 275, Leibniz Institute for Financial Research SAFE.

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