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Portfolio similarity and asset liquidation in the insurance industry
Journal of Financial Economics ( IF 8.238 ) Pub Date : 2021-06-17 , DOI: 10.1016/j.jfineco.2021.05.050
Giulio Girardi , Kathleen W. Hanley , Stanislava Nikolova , Loriana Pelizzon , Mila Getmansky Sherman

We examine whether the concern about insurers selling similar assets due to an overlap in holdings is justified. We measure this overlap using cosine similarity and find that insurers with more similar portfolios have larger subsequent common sales. When faced with a shock to assets or liabilities, exposed insurers with greater portfolio similarity have larger common sales that impact prices. Our portfolio similarity measure can be used by regulators to predict the common selling of any institution that reports security or asset class holdings, making the measure a useful ex ante predictor of divestment behavior in times of market stress.



中文翻译:

保险行业的投资组合相似性与资产清算

我们研究了保险公司因持有重叠而出售类似资产的担忧是否合理。我们使用余弦相似度来衡量这种重叠,并发现拥有更多相似投资组合的保险公司有更大的后续共同销售额。当面临资产或负债的冲击时,投资组合相似性更高的风险保险公司有更大的共同销售额,从而影响价格。监管机构可以使用我们的投资组合相似性度量来预测任何报告证券或资产类别持股的机构的普遍抛售,使该度量成为市场压力时期撤资行为的有用事前预测指标。

更新日期:2021-08-23
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