Search Results

Showing results 1 to 2 of approximately 2.

(refine search)
SORT BY: PREVIOUS / NEXT
Author:Zhou, Xing 

Working Paper
Investment Commonality across Insurance Companies : Fire Sale Risk and Corporate Yield Spreads

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, 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 fire-sale risk on bond yield spreads is more evident for bonds held to a greater extent by capital-constrained insurance ...
Finance and Economics Discussion Series , Paper 2017-069

Working Paper
The Volcker Rule and Market-Making in Times of Stress

Focusing on downgrades as stress events that drive the selling of corporate bonds, we document that the illiquidity of stressed bonds has increased after the Volcker Rule. Dealers regulated by the Rule have decreased their market-making activities while non-Volcker-affected dealers have stepped in to provide some additional liquidity. Furthermore, even Volcker-affected dealers that are not constrained by Basel III and CCAR regulations change their behavior, inconsistent with the effects being driven by these other regulations. Since Volcker-affected dealers have been the main liquidity ...
Finance and Economics Discussion Series , Paper 2016-102

FILTER BY year

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

G11 1 items

G12 1 items

G14 1 items

G18 1 items

G21 1 items

G22 1 items

show more (4)

PREVIOUS / NEXT