Reaching for Yield in the Bond Market
研究了保险公司在公司债券市场中追逐收益的行为，即偏好购买高风险资产以获取更高收益，并发现这种行为在经济扩张期、公司治理差及监管资本约束强时更显著。
ABSTRACT This paper studies reaching for yield—investors’ propensity to buy riskier assets to achieve higher yields—in 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.