The Bond-Pricing Implications of Rating-Based Capital Requirements
研究发现基于评级的资本要求通过影响保险公司投资需求改变公司债券价格，评级接近非投资级的投资级债券表现更好，而系统性风险暴露不同的债券表现各异，且这些效应在1993年实施该要求后才出现。
Abstract This article demonstrates that rating-based capital requirements, through their impact on insurers’ investment demand, affect corporate bond prices. Consistent with insurers’ low demand for investment-grade bonds with a rating close to noninvestment-grade, these bonds outperform. Consistent with insurers’ high (low) demand for investment-grade bonds with high (low) systematic risk exposure, these bonds underperform (outperform). Insurer demand, measured by insurer holdings, explains most of these pricing effects. We identify rating-based capital requirements as the driver of insurer demand, and thus the pricing effects, by showing that the effects do not exist before these requirements’ implementation in 1993.