【保险学术】Journal of Financial and Quantitative Analysis 2014-24文章精选

声明：本系列文章基于原期刊目录和摘要内容整理而得，仅限于读者交流学习。如有侵权，请联系删除。

期刊介绍：

《Journal of Financial and Quantitative Analysis》（金融与定量分析杂志），主要发表金融经济学领域的理论和实证研究。主题包括公司金融、投资、资本市场和证券市场，以及对金融研究者特别相关的定量方法。该刊每年发行8期，每期发表文章13篇左右，2022-2023年影响因子为3.9。

本期看点：

● 存款保险： 美国银行的存款保险保费差异导致了扭曲，包括监管套利，但也为遏制道德风险提供了强有力的激励。

● 保险公司的投资行为：

1. 保险公司投资聚集的共性对收益率利差有显著的解释力，这也带来了资产抛售风险（资产抛售风险 (Fire Sale Risk) ，指的是金融机构因为某种原因，（被迫）以明显低于公允价值的价格抛售自持资产）。

2.美国财产责任保险公司在其投资组合中对自己的行业以及高度相关的行业都进行了较低的配置。对于承保风险较高的保险公司来说，这种低配程度更大。

3.基于评级的资本要求是保险公司投资需求的驱动因素，也是债券定价效应的驱动因素。

●  风险与行为情绪：

1.农作物保险使用率的提高降低了农业社区的地方宗教信仰和会众成员人数，说明金融减少了人们对社会网络的参与。

2.金融情绪对可保险风险和不可保险风险的反应不同。金融信心在流行病和地震后下降，但在严重干旱、洪水和山体滑坡后上升。

George F. Shoukry(联邦存款保险公司)

摘要：Pricing is integral to insurance design, directly influencing firm behavior and moral hazard, though its effects are insufficiently understood. I study a quasi-experiment in which deposit insurance premiums were changed for U.S. banks with unequal timing, generating differentials between banks in both levels and risk-based “steepness” of premiums. I find evidence that differentials in premiums resulted in distortions, including regulatory arbitrage, but also provided strong incentives to curb moral hazard. I find that firms that faced stronger pricing incentives to become (or remain) safer were more likely to subsequently do so than similar firms that faced weaker pricing incentives.

定价是保险设计不可或缺的一部分，它直接影响着企业行为和道德风险，但人们对其影响还缺乏足够的了解。本文研究了一个类实验，在这个实验中，美国银行的存款保险费率在不同时间发生了变化，银行间的保险费率在水平和基于风险的“陡度”上都存在差异。本文有证据表明，保费差异导致了扭曲，包括监管套利，但也为遏制道德风险提供了强有力的激励。本文发现，与面临较弱定价激励采取手段变得更安全（或保持）的类似公司相比，面临较强定价激励的公司更有可能随后这样做。

原文链接：

https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/abs/insurance-pricing-distortions-and-moral-hazard-quasiexperimental-evidence-from-deposit-insurance/ECF4AEFA4A76C84561619615B7A00F15

Henrik Cronqvist（查普曼大学），Mitch Warachka（查普曼大学），Frank Yu（中欧国际工商学院）

摘要：Informal risk sharing within social networks and formal financial contracts both enable households to manage risk. We find that financial contracting reduces participation in social networks. Specifically, increased crop insurance usage decreased local religious adherence and congregation membership in agricultural communities. Our identification utilizes the Federal Crop Insurance Reform Act of 1994 that doubled crop insurance usage nationally within a year, although changes in usage varied across counties. Difference-in-difference and Spatial First Difference tests confirm that households substituted insurance for religiosity. This substitution was associated with reductions in crop diversification and crop yields, indicating an increase in moral hazard.

社会网络中非正式的风险分担和正式的金融合同都能帮助家庭管理风险。我们发现，金融契约减少了对社会网络的参与。具体而言，农作物保险使用率的提高降低了农业社区的地方宗教信仰和会众成员人数。我们利用 1994 年《联邦农作物保险改革法案》进行识别，该法案使全国农作物保险使用率在一年内翻了一番，尽管各县使用率的变化各不相同。双重差分和空间第一差分检验证实，家庭用保险替代了宗教信仰。这种替代与作物多样化和作物产量的减少有关，表明道德风险增加。

原文链接：

https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/abs/does-finance-make-us-less-social/ABD508F6C11D2EE3B174F15E4E9BB273

Scott Murray（佐治亚州立大学）, Stanislava Nikolova（内布拉斯加大学林肯分校）

摘要：This article demonstrates that rating-based capital requirements, through their impact on insurers’ investment demand, affect corporate bond prices. Consistent with insurers’ low demand for investment-grade bonds with a rating close to noninvestment-grade, these bonds outperform. Consistent with insurers’ high (low) demand for investment-grade bonds with high (low) systematic risk exposure, these bonds underperform (outperform). Insurer demand, measured by insurer holdings, explains most of these pricing effects. We identify rating-based capital requirements as the driver of insurer demand, and thus the pricing effects, by showing that the effects do not exist before these requirements’ implementation in 1993.

与保险公司对评级接近非投资级的投资级（investment-grade）债券的低需求一致，这些债券的表现优于其他债券。与保险公司对于具有高（低）系统风险敞口的投资级债务的高（低）需求一致，这类债券的表现逊于其他债券。以保险公司持股量衡量的保险公司需求解释了这些定价效应的大部分原因。我们认为，基于评级的资本要求是保险公司需求的驱动因素，因此也是定价效应的驱动因素。我们表明，在1993年实施这些要求之前，这种效应并不存在。

本文论证了基于评级的资本要求是如何通过影响保险公司的投资需求，进而影响公司债券价格的。与保险公司对接近非投资级评级（noninvestment-grade）的投资级（investment-grade）债券需求较低一致，这些债券的表现超过了平均水平。与保险公司对暴露于高（低）系统性风险的投资级债券需求较高（低）一致，这些债券的表现低于（超过）了平均水平。以保险公司持有量衡量的保险公司需求解释了这些定价效应的大部分原因。我们认为，基于评级的资本要求是保险公司需求的驱动因素，因此也是定价效应的驱动因素。我们表明，在1993年实施这些要求之前，这种效应并不存在。

原文链接：

https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/abs/bondpricing-implications-of-ratingbased-capital-requirements/61C41817B1F660F1DEA010734E2DF935

Xin Che(加州州立大学富尔顿分校), Andre P. Liebenberg(密西西比大学), Andrew A Lynch(阿肯色大学)

摘要：Investors may underdiversify their portfolios by overweighting securities in which they perceive an informational advantage or by underweighting securities to hedge risks outside the portfolio. We investigate underdiversification in institutional portfolio construction by examining the under/overweighting of industries in U.S. property–liability (PL) insurers’ equity portfolios. We find that PL insurers underweight both their own industry and highly correlated industries in their portfolios. This underweighting is larger for PL insurers exposed to higher underwriting risk. Although PL insurers have an informational advantage in investing in their peers, their underwriting risk drives them to underweight stocks in their industry.

投资者可能会通过增持他们认为具有信息优势的证券或减持证券以对冲投资组合之外的风险，从而降低了投资组合的分散性。我们通过研究美国财产责任（PL）保险公司股票投资组合中行业的低配/高配来调查机构投资组合构建中的分散性不足问题。我们发现 PL 保险公司在其投资组合中对自己的行业以及高度相关的行业都进行了低配。对于承保风险较高的 PL 保险公司来说，这种低配程度更大。虽然与其同行相比，PL保险公司在投资方面具有信息优势，但他们的承保风险促使他们减持其行业中的股票。

原文链接：

https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/abs/portfolio-choice-familiarity-hedging-and-industry-bias/D798A4E5CC648B06980B40DDD32FCB35

Manish Jha(佐治亚州立大学), Hongyi Liu(圣路易斯华盛顿大学), Asaf Manela(圣路易斯华盛顿大学)

摘要：We use a text-based measure of popular sentiment toward finance to study how finance sentiment responds to rare historical disasters and to the ongoing COVID-19 pandemic. Finance sentiment declines after epidemics and earthquakes but rises following severe droughts, floods, and landslides. These heterogeneous effects suggest finance sentiment responds differently to the realization of insured versus uninsured risks. Finance sentiment declines at the start of the COVID-19 pandemic, but recovers in countries that experienced high stock markets returns and that responded with large fiscal spending. Finance sentiment seems to depend on the insurance provided by private markets and by public finance.

我们使用一种基于文本的大众对金融情绪的衡量标准，来研究金融情绪如何受历史上罕见的灾难和持续的 COVID-19 大流行的影响。金融信心在流行病和地震后下降，但在严重干旱、洪水和山体滑坡后上升。自然灾害的这些异质性影响表明，金融情绪对可保险风险和不可保险风险的反应不同。在 COVID-19 大流行刚开始时，金融信心有所下降，但在那些以大量财政支出和政府担保作为应对措施的国家，金融情绪基本恢复。

原文链接：

https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/abs/natural-disaster-effects-on-popular-sentiment-toward-finance/1F2DB1192A7B537298B977E5788D15C7

Vikram Nanda（纳文-金达尔管理学院）, Wei Wu（上海纽约大学）, Xing (Alex) Zhou（美国联邦储备委员会）

摘要：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, the 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 insurer clustering on bond yield spreads is more evident for bonds held to a greater extent by capital-constrained insurance companies, those with ratings closer to National Association of Insurance Commissioners risk categories with larger capital requirements, and during the financial crisis.

保险公司通常遵循高度相关的投资策略。作为公司债券的主要投资者，当评级下调后，监管限制促使大范围撤资时，它们的投资共性会使投资者面临资产抛售风险。在控制流动性、信用风险和其他因素的情况下，保险公司在债券中的聚集对收益率利差有显著的解释力，这也反映了资产抛售风险。保险公司投资聚集对债券收益率差的影响在以下情况下更为明显：更多的债券被资本受限的保险公司持有，或被评级更接近美国国家保险委员会对资本要求更高的保险公司风险类别持有；以及在金融危机期间。

原文链接：

https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/abs/investment-commonality-across-insurance-companies-fire-sale-risk-and-corporate-yield-spreads/42644776744165E4C28014F655F6A2C3