Portfolio similarity and asset liquidation in the insurance industry
Portfolio similarity and asset liquidation in the insurance industry
复制标题
保险业的投资组合相似性与资产清算
DOI：
10.1016/j.jfineco.2021.05.050
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发表时间：
2021
影响因子：
8.9
通讯作者：
Sherman, Mila Getmansky
中科院分区：
文献类型：
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作者：
Girardi, Giulio;Hanley, Kathleen W.;Nikolova, Stanislava;Pelizzon, Loriana;Sherman, Mila Getmansky
我们研究保险公司出售类似的资产，由于在控股重叠的关注是否是合理的。我们使用余弦相似性来衡量这种重叠，发现具有更多相似投资组合的保险公司随后的共同销售额更大。当面临资产或负债冲击时，投资组合相似性较大的风险敞口保险公司的共同销售额较大，从而影响价格。我们的投资组合相似性度量可以被监管机构用来预测任何报告证券或资产类别持有量的机构的共同抛售，使该度量成为市场压力时期撤资行为的有用事前预测器。
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.