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«Oscar Stolper (University of Giessen) Andreas Walter (University of Giessen) Discussion Paper Series 1: Economic Studies No 23/2011 Discussion Papers ...»

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This table presents further details with regard to the locality of households' domestic stock investments. The first row reports numbers for the overall sample: column two shows the number of individual bank-quarter observations, the following columns report the average percentage of the investor's actual local stockholdings, the portion of aggregate domestic market capitalization located within 100 kilometers of the investor, and, finally, the local bias, denoted as the difference between the two percentages (*** indicates statistical significance at the 1% level). Panel A reports the corresponding figures for subsamples built according to the households' geographic area of residence, distinguishing between urban and rural, as well as West German states and East German states ('New Länder'). Panel B delineates households' stockholdings according to their index status, differentiating shares listed in the German national stock index DAX30 and the remainder of stocks.

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This table reports pooled regression results (clustered by quarters) of the analysis of German private households' equity portfolio performance, with the excess return on the local portion of a household's equity portfolio (Rlocal,i - R f) as the dependent variable. In equations Reg 2 and Reg 3, this excess return is regressed on an overall market return ( Rlocal,i - R f ) and an investor-specific local BM benchmark (R BM - R ), respectively. Reg 4 represents the full specification including both benchmark all f types. T-statistics are based on Rogers (1993) standard errors and are robust to heteroskedasticity and contemporaneous correlation. Returns are adjusted for dividend payouts and stock splits and companies under review are not subject to survivorship bias. Panel A reports results for the full universe of sampled domestic stocks, while results in panel B exclude the 30 largest German publicly listed companies (members of the major national stock index DAX30). *** indicates statistical significance at the 1% level.

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This table assigns the results of Regression 4 of Table 4 to quartiles according to German individual investors' local bias, where Quartile 1 (Quartile 4) subsumes the least (most) locally biased private households in the sample. The upper row reports mean local bias levels for each of the four portfolios. Regression results are displayed in the following rows. Differences between Quartile 1 and Quartile 4 are presented in the rightmost column. *** indicates statistical significance at the 1% level.

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This table reports pooled regression results (clustered by quarter) of the analysis of the performance of portfolios constructed from private households' aggregate buys and sells, using 12-month returns.

The dependent variable in columns 2 and 3 expresses the difference between returns on the buy sell household's local buy- and sell-positions ( Rlocal,i - Rlocal,i ). The dependent variable in columns 4 and 5 expresses the difference between returns on the household's nonlocal buy- and sell-positions buy sell ( Rremote,i - Rremote,i ). Panel A reports results for the full universe of sampled domestic stocks, while results in panel B exclude the 30 largest German publicly listed companies (members of the major national stock index DAX30). Returns are adjusted for dividend payouts and stock splits and companies under review are not subject to survivorship bias. *** indicates statistical significance at the 1% level.

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This table reports regression results of the impact of stock market uncertainty (as captured by quarterly changes of the average 3-month-VDAX New levels, change VDAX New ) on changes in local bias levels of German individual investors' common stockholdings. T-statistics are based on Newey-West standard errors. *** indicates statistical significance at the 1% level.

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This table classifies the period under review into four quartiles according to the average stock market performance, as captured by the quarterly return of the Composite DAX index (CDAX).

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This table dissects private households in the sample according to whether they increase or reduce their exposure to local stocks between two consecutive quarters of the period under review (end-2005 through end-2009). Households' stockholdings are aggregated at the bank level. The rightmost column reports the percentage change in average local bias levels across all investors.

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12 2010 User costs of housing when households face Tobias Dümmler a credit constraint – evidence for Germany Stephan Kienle

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04 2011 Classical time-varying FAVAR models – S. Eickmeier estimation, forecasting and structural analysis W. Lemke, M. Marcellino

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03 2010 Purchase and redemption decisions of mutual Stephan Jank fund investors and the role of fund families Michael Wedow 04 2010 What drives portfolio investments of German banks in emerging capital markets? Christian Wildmann

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06 2010 Performance and regulatory effects of non-compliant loans in German synthetic mortgage-backed securities transactions Gaby Trinkaus

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09 2010 Do banks benefit from internationalization? C. M. Buch Revisiting the market power-risk nexus C. Tahmee Koch, M. Koetter

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12 2011 The effect of the interbank network structure on contagion and common shocks Co-Pierre Georg Visiting researcher at the Deutsche Bundesbank The Deutsche Bundesbank in Frankfurt is looking for a visiting researcher. Among others under certain conditions visiting researchers have access to a wide range of data in the Bundesbank. They include micro data on firms and banks not available in the public.

Visitors should prepare a research project during their stay at the Bundesbank. Candidates must hold a PhD and be engaged in the field of either macroeconomics and monetary economics, financial markets or international economics. Proposed research projects should be from these fields. The visiting term will be from 3 to 6 months. Salary is commensurate with experience.

Applicants are requested to send a CV, copies of recent papers, letters of reference and a

proposal for a research project to:

Deutsche Bundesbank Personalabteilung Wilhelm-Epstein-Str. 14 60431 Frankfurt GERMANY



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