Investment Commonality across Insurance Companies: Fire Sale Risk and Corporate Yield Spreads
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DOI: 10.1017/s0022109018001515
Abstract: 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… read more here.
Keywords: fire sale; yield spreads; sale risk; insurance companies ... See more keywords