Correlated trading by life insurers and its impact on bond prices
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| Tag | 1 | 2 | Value |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20200028918 | ||
| 003 | MAP | ||
| 005 | 20220911202045.0 | ||
| 008 | 200921e20200901usa|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a341 | ||
| 100 | $0MAPA20200018797$aChiang, Chia-Chun | ||
| 245 | 1 | 0 | $aCorrelated trading by life insurers and its impact on bond prices$cChia-Chun Chiang, Greg Niehaus |
| 520 | $aOur evidence indicates that U.S. life insurers' decisions to buy and sell individual corporate bonds are correlated across companies within the life insurance industry. On average, the correlation in sell decisions is greater in smaller bonds, bonds with lower ratings, bonds that have been downgraded, and bonds that have recently experienced relatively large abnormal returns. Correlated trading was also elevated during the financial crisis. In addition, correlated buying and selling are greater when insurers designated as systemically important financial institutions are actively trading. We also find that the bonds that insurers sell in a correlated manner exhibit negative average abnormal returns during the quarter in which insurers are selling. One explanation is that insurers' correlated selling is temporarily pushing bond prices below their fundamental value. In this case, we would expect prices to bounce back in the subsequent quarter. However, we do not find a rebound in prices and therefore our evidence supports the alternative explanation that insurers' correlated selling is impounding information into bond prices. | ||
| 650 | 4 | $0MAPA20080586294$aMercado de seguros | |
| 650 | 4 | $0MAPA20080590567$aEmpresas de seguros | |
| 650 | 4 | $0MAPA20080570590$aSeguro de vida | |
| 650 | 4 | $0MAPA20080538279$aBonos | |
| 650 | 4 | $0MAPA20080598358$aProductos de seguros | |
| 651 | 1 | $0MAPA20080638337$aEstados Unidos | |
| 700 | 1 | $0MAPA20080079420$aNiehaus, Greg | |
| 773 | 0 | $wMAP20077000727$tThe Journal of risk and insurance$dNueva York : The American Risk and Insurance Association, 1964-$x0022-4367$g01/09/2020 Volumen 87 Número 3 - septiembre 2020 , p. 597-625 |