Reaching for Yield in the Bond Market

• 成果类型: Article
• 署名作者: Becker, Bo; Ivashina, Victoria
• 署名单位: Stockholm School of Economics; Harvard University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12199
• 发表日期: 2015
• 页码: 1863-1901
• 关键词: costs; firm

摘要

This paper studies reaching for yieldinvestors' propensity to buy riskier assets to achieve higher yieldsin the corporate bond market. We show that insurance companies reach for yield in choosing their investments. Consistent with lower rated bonds bearing higher capital requirements, insurance firms prefer to hold higher rated bonds. However, conditional on credit ratings, insurance portfolios are systematically biased toward higher yield, higher CDS bonds. This behavior is related to the business cycle being most pronounced during economic expansions. It is also characteristic of firms with poor corporate governance and for which the regulatory capital requirement is more binding.