Portfolio similarity and asset liquidation in the insurance industry '

• 成果类型: Article
• 署名作者: Girardi, Giulio; Hanley, Kathleen W.; Nikolova, Stanislava; Pelizzon, Loriana; Sherman, Mila Getmansky
• 署名单位: U.S. Securities & Exchange Commission (SEC); Lehigh University; University of Nebraska System; University of Nebraska Lincoln; Universita Ca Foscari Venezia; Goethe University Frankfurt; University of Massachusetts System; University of Massachusetts Amherst
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.05.050
• 发表日期: 2021
• 页码: 69-96
• 关键词: Interconnectedness; Asset liquidation; Similarity; Financial stability; Insurance companies; fire sales

摘要

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. (c) 2021 Elsevier B.V. All rights reserved.