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Portfolio similarity and asset liquidation in the insurance industry

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【论文标题Portfolio similarity and asset liquidation in the insurance industry

论文作者 Girardi Giulio; Hanley Kathleen W.; Nikolova Stanislava; Pelizzon Loriana; Sherman Mila Getmansky

【来源】        Journal of Financial Economics

【发布时间】2021 年10月

【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.


【关键词

Interconnectedness; Asset liquidation; Similarity; Financial stability; Insurance companies; Fire sales; G11; G18; G22

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