In Search of Habitat

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2022-11-15 DOI:10.1093/rapstu/raac018

Xuanjuan Chen, Zhenzhen Sun, Tong Yao, Tong Yu

引用次数: 0

Abstract

We perform portfolio-level analyses to understand insurance firms’ preferred habitat behavior in the government bond market. Based on portfolio durations and portfolio weights across maturities, we find that interest rate risk exposures of insurers’ portfolios are related to their operating liabilities and financing constraints. We show that this habitat behavior significantly affects bond pricing. During the “quantitative easing” era, bond purchases by the Federal Reserve have a larger impact on the yields of Treasury bonds with a higher habitat demand.

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寻找栖息地

我们进行了投资组合层面的分析，以了解保险公司在政府债券市场中的偏好栖息地行为。基于投资组合期限和各期限的投资组合权重，我们发现保险公司投资组合的利率风险暴露与其经营负债和融资约束有关。我们发现这种栖息地行为显著影响债券定价。在“量化宽松”时期，美联储(fed)购买债券对栖息地需求较高的国债收益率的影响更大。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.