作者：Chodorow-Reich, Gabriel; Ghent, Andra; Haddad, Valentin
作者单位：Harvard University; National Bureau of Economic Research; University of North Carolina; University of North Carolina Chapel Hill; University of California System; University of California Los Angeles
摘要：We construct a new data set tracking the daily value of life insurers' assets at the security level. Outside of the 2008-2009 crisis, a $1 drop in the market value of assets reduces an insurer's market equity by $0.10. During the financial crisis, this pass-through rises to $1. We explain this pattern by viewing insurance companies as asset insulators, institutions with stable, long-term liabilities that can ride out transitory dislocations in market prices. Illustrating the macroeconomic impo...
作者：Neuberger, Anthony; Payne, Richard
作者单位：City St Georges, University of London
摘要：Higher moments of long-horizon returns are important for asset pricing but are hard to measure accurately using standard techniques. We provide theory showing that short-horizon (e.g., daily) returns can be used to construct precise estimates of long-horizon (e.g., annual) moments without making strong assumptions about the data-generating process. Skewness comprises two components: skewness of short-horizon returns and a leverage effect, that is, covariance between variance and lagged returns...
