Portfolio similarity and asset liquidation in the insurance industry
We examine whether the concern about insurers selling similar assets due to an overlap in holdings is justified. We measure this overlap using cosine similarity and find that insurers with more similar portfolios have larger subsequent common sales. When faced with a shock to assets or liabilities,...
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| Veröffentlicht in: | Journal of financial economics 2021-10, Vol.142 (1), p.69-96 |
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| container_end_page | 96 |
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| container_issue | 1 |
| container_start_page | 69 |
| container_title | Journal of financial economics |
| container_volume | 142 |
| creator | Girardi, Giulio Hanley, Kathleen W. Nikolova, Stanislava Pelizzon, Loriana Sherman, Mila Getmansky |
| description | We examine whether the concern about insurers selling similar assets due to an overlap in holdings is justified. We measure this overlap using cosine similarity and find that insurers with more similar portfolios have larger subsequent common sales. When faced with a shock to assets or liabilities, exposed insurers with greater portfolio similarity have larger common sales that impact prices. Our portfolio similarity measure can be used by regulators to predict the common selling of any institution that reports security or asset class holdings, making the measure a useful ex ante predictor of divestment behavior in times of market stress. |
| doi_str_mv | 10.1016/j.jfineco.2021.05.050 |
| format | Article |
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Our portfolio similarity measure can be used by regulators to predict the common selling of any institution that reports security or asset class holdings, making the measure a useful ex ante predictor of divestment behavior in times of market stress.</description><subject>Asset liquidation</subject><subject>Assets</subject><subject>Bankruptcy</subject><subject>Financial stability</subject><subject>Fire sales</subject><subject>Insurance</subject><subject>Insurance companies</subject><subject>Insurance industry</subject><subject>Insurance policies</subject><subject>Interconnectedness</subject><subject>Portfolio management</subject><subject>Portfolios</subject><subject>Prices</subject><subject>Sales</subject><subject>Similarity</subject><subject>Underwriting</subject><issn>0304-405X</issn><issn>1879-2774</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2021</creationdate><recordtype>article</recordtype><recordid>eNqFUNFKwzAUDaLgnH6CUPC59aZN2uZJZDoVBvqg4FvIblJM6ZotSYX9vRnbu5cD9z6ccy7nEHJLoaBA6_u-6Ds7GnRFCSUtgCfAGZnRthF52TTsnMygApYz4N-X5CqEHtI0XMzI04fzsXODdVmwGzsob-M-U6POVAgmZoPdTVaraN2Y2TGLPyatMHk14uHSU4h-f00uOjUEc3Pac_K1fP5cvOar95e3xeMqR8ZEzHVlauSt4ZrW2KqyqxmHZq0NoABAzfi61hUyxRmYrhVYaY6cCWAcEUtWzcnd0Xfr3W4yIcreTX5ML2XJm6oVkLiJxY8s9C4Ebzq59Xaj_F5SkIfCZC9PhclDYRJ4AiTdw1FnUoRfa7wMaE3Kqa03GKV29h-HP4UHd5k</recordid><startdate>20211001</startdate><enddate>20211001</enddate><creator>Girardi, Giulio</creator><creator>Hanley, Kathleen W.</creator><creator>Nikolova, Stanislava</creator><creator>Pelizzon, Loriana</creator><creator>Sherman, Mila Getmansky</creator><general>Elsevier B.V</general><general>Elsevier Sequoia S.A</general><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>20211001</creationdate><title>Portfolio similarity and asset liquidation in the insurance industry</title><author>Girardi, Giulio ; Hanley, Kathleen W. ; Nikolova, Stanislava ; Pelizzon, Loriana ; Sherman, Mila Getmansky</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c449t-d3e6c58e5d16c8a2f64507bde0c900cd45b6d3c4a540ef89c3d5c549045ccc243</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2021</creationdate><topic>Asset liquidation</topic><topic>Assets</topic><topic>Bankruptcy</topic><topic>Financial stability</topic><topic>Fire sales</topic><topic>Insurance</topic><topic>Insurance companies</topic><topic>Insurance industry</topic><topic>Insurance policies</topic><topic>Interconnectedness</topic><topic>Portfolio management</topic><topic>Portfolios</topic><topic>Prices</topic><topic>Sales</topic><topic>Similarity</topic><topic>Underwriting</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Girardi, Giulio</creatorcontrib><creatorcontrib>Hanley, Kathleen W.</creatorcontrib><creatorcontrib>Nikolova, Stanislava</creatorcontrib><creatorcontrib>Pelizzon, Loriana</creatorcontrib><creatorcontrib>Sherman, Mila Getmansky</creatorcontrib><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>Journal of financial economics</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Girardi, Giulio</au><au>Hanley, Kathleen W.</au><au>Nikolova, Stanislava</au><au>Pelizzon, Loriana</au><au>Sherman, Mila Getmansky</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Portfolio similarity and asset liquidation in the insurance industry</atitle><jtitle>Journal of financial economics</jtitle><date>2021-10-01</date><risdate>2021</risdate><volume>142</volume><issue>1</issue><spage>69</spage><epage>96</epage><pages>69-96</pages><issn>0304-405X</issn><eissn>1879-2774</eissn><abstract>We examine whether the concern about insurers selling similar assets due to an overlap in holdings is justified. 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| identifier | ISSN: 0304-405X |
| ispartof | Journal of financial economics, 2021-10, Vol.142 (1), p.69-96 |
| issn | 0304-405X 1879-2774 |
| language | eng |
| recordid | cdi_proquest_journals_2573890904 |
| source | Elsevier ScienceDirect Journals |
| subjects | Asset liquidation Assets Bankruptcy Financial stability Fire sales Insurance Insurance companies Insurance industry Insurance policies Interconnectedness Portfolio management Portfolios Prices Sales Similarity Underwriting |
| title | Portfolio similarity and asset liquidation in the insurance industry |
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