Investment Commonality across Insurance Companies: Fire Sale Risk and Corporate Yield Spreads
研究发现保险公司投资策略高度趋同，当债券评级下调引发监管强制抛售时，这种趋同性会带来抛售风险，且保险公司在债券中的集中度能显著解释债券利差，对资本受限的保险公司和金融危机期间影响更明显。
Insurance companies often follow highly correlated investment strategies. As major investors in corporate bonds, their investment commonalities subject investors to fire sale risk when regulatory restrictions prompt widespread divestment of a bond following a rating downgrade. Reflective of fire sale risk, the clustering of insurance companies in a bond has significant explanatory power for yield spreads, controlling for liquidity, credit risk, and other factors. The effect of insurer clustering on bond yield spreads is more evident for bonds held to a greater extent by capital-constrained insurance companies, those with ratings closer to National Association of Insurance Commissioners risk categories with larger capital requirements, and during the financial crisis.