题 目：In Search of Habitat
地 点：浙江大学玉泉校区经济学院236室
日 期：12月19日（周二）上午10:00-11:30
主讲人：Tong Yu 教授（美国辛辛那提大学）
主持人：洪鑫 副教授
主办方：浙江大学经济学院 浙江大学工程师学院互联网金融分院
协办方：浙江大学金融研究院 浙江大学应用经济研究中心
Introduction：
Tong Yu is a Professor of Finance in the Lindner School of Business at the University of Cincinnati. His teaching and research interests are on asset pricing, risk management and insurance, and investments of institutional investors. He published works in academic journals such as the Journal of Financial Economics, Journal of Accounting Research, Journal of Financial Intermediation, Journal of Banking and Finance, and Journal of Risk and Insurance. Professor Yu received the Early Career Scholastic Achievement Award from the American Risk and Insurance Association in 2011.
Abstract:
We perform portfolio-level analysis to understand investors’ preferred-habitat behavior in the government bond market. Based on portfolio durations and portfolio weights across maturities, we find that insurance firms’ aggregate government bond portfolio has stable interest rate risk exposure and limited elasticities to market conditions. Across individual insurers, their interest rate risk exposures and portfolio elasticities are related to characteristics of operating liabilities and risk preferences. We provide further evidence that insurers exhibit habitat preferences at both the portfolio duration level and the maturity level, and that operating liabilities restrain insurers’ reaching-for-duration behavior during the recent “quantitative easing” era.