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Zur Konkurrenzfähigkeit des Pfandbriefs - Neuere theoretische und empirische Erkenntnisse
Schäfer, Henry | Hochstein, Martin
Credit and Capital Markets – Kredit und Kapital, Vol. 32 (1999), Iss. 4 : pp. 547–580
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Henry Schäfer, Siegen
Martin Hochstein, Frankfurt/M.
References
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Abstract
Competitiveness of the German Pfandbrief. Recent Theoretical and Empirical Findings
Since the mid-nineties the German Pfandbrief market (i.e. mortgage bond market), beside government bonds the most important market segment, has developed in a very dynamic way, with a focus on the newly established Jumbo Pfandbrief. With uniform characteristics and large emission volumes, the Jumbo Pfandbrief is to attract in particular foreign institutional investors which have so far been underrepresented in the Pfandbrief market. This article deals with a product- related characterisation of the Pfandbrief as seen from major institutional investors’ viewpoints, and represents an extensive empirical study of the Jumbo Pfandbrief market. A homogeneity analysis is carried out which shows that institutional investors at present still see the Jumbo Pfandbrief market as a single market segment and that certain qualitative bonds criteria like liquidity or rating do not have implications on bond returns. In a comparison with German government bonds it is then shown that on the one hand the Jumbo Pfandbrief market still suffers from some qualitative deficits but on the other hand the Jumbo Pfandbrief generally has a high substitution potential for asset allocation.