Journal article
In Search of Habitat
Review of asset pricing studies, Vol.13(2), pp.266-306
06/2023
DOI: 10.1093/rapstu/raac018
Abstract
We perform portfolio-level analyses to understand insurance firms' preferred habitat behavior in the government bond market. Based on portfolio durations and portfolio weights across maturities, we find that interest rate risk exposures of insurers' portfolios are related to their operating liabilities and financing constraints. We show that this habitat behavior significantly affects bond pricing. During the "quantitative easing" era, bond purchases by the Federal Reserve have a larger impact on the yields of Treasury bonds with a higher habitat demand. (JEL E43, E52, G11, G12, G23) Received February 28, 2019; editorial decision September 15, 2022 by Editor Thierry Foucault. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.
Details
- Title: Subtitle
- In Search of Habitat
- Creators
- Xuanjuan Chen - Shanghai University of Finance and EconomicsZhenzhen Sun - University of Massachusetts DartmouthTong Yao - University of IowaTong Yu - University of Cincinnati Medical Center
- Resource Type
- Journal article
- Publication Details
- Review of asset pricing studies, Vol.13(2), pp.266-306
- Publisher
- Oxford Univ Press
- DOI
- 10.1093/rapstu/raac018
- ISSN
- 2045-9920
- eISSN
- 2045-9939
- Number of pages
- 41
- Grant note
- 72073090 / National Social Science Foundation of China
- Language
- English
- Electronic publication date
- 11/15/2022
- Date published
- 06/2023
- Academic Unit
- Finance
- Record Identifier
- 9984380738402771
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