Investor-Driven Corporate Finance: Evidence from Insurance Markets

Kubitza, Christian

doi:10.2139/ssrn.4445802

Cited by 2 publications

(2 citation statements)

References 80 publications

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“…6 These unrealised gains present buffers to support profits shared with life insurance policyholders. Other possible drivers for insurers' investment behaviour are liquidity needs, compliance with the defined investment strategy (e.g., triggering sales of downgraded bonds), business models and premium flows (Kubitza, 2022) as well as deliberate countercyclical investments.…”

Section: Country-level Descriptive Statisticsmentioning

confidence: 99%

Insurers’ investment behaviour and the coronavirus (COVID-19) pandemic

Fay,

Ghiselli

2023

SSRN Journal

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Section: Country-level Descriptive Statisticsmentioning

confidence: 99%

Insurers’ investment behaviour and the coronavirus (COVID-19) pandemic

Fay,

Ghiselli

2023

SSRN Journal

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“…I next test for cross-predictability in the corporate bond market, to check if the increase in cross-predictability was a common pattern across credit markets or unique to the loan market. Importantly, the composition of bond investors has remained relatively stable over the last 20 years, compared to the syndicated loan market (see Kubitza (2023)). Corporate bonds are typically held by long-term investors such as insurance companies and pension funds 9 .…”

Section: Loan Market: Cross-industry Predictabilitymentioning

confidence: 99%

Essays in Financial Markets and Beliefs

Spina

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This thesis represents the final product of my PhD studies at the Department of Finance and the Center for Financial Frictions (FRIC) at Copenhagen Business School. The thesis consists of three chapters. The chapters are self-contained and can be read independently. The first chapter, “Corporate Loan Spreads and Economic Activity,” documents a novel predictive measure of economic activity. We construct a loan spread measure based on the credit spreads of syndicated corporate loans. Credit spreads from syndicated loans capture information about borrower fundamentals and financial frictions not available in alternative credit spreads derived from the corporate bond market. The second chapter, “Market Segmentation and Cross-predictability,” examines how in-formation diuses across equity and syndicated loan markets. I test whether asset prices in one industry predict asset prices in an economically related industry. I expand these tests beyond the equity market, for the first time, and find evidence of slow information diusion in the syndicated loan market, in contrast to the equity market. The third chapter, “Heterogenous Expectation Formation,” studies how agents form ex-pectations. I use forecasts from macroeconomic surveys to explore the pattern of overreaction and underreaction in forecast revisions. I find that patterns in expectation formation are related to the experience of the analyst making the forecast. These findings show that het-erogeneity amongst respondents cannot be ignored when studying expectation formation.

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Investor-Driven Corporate Finance: Evidence from Insurance Markets

Cited by 2 publications

References 80 publications

Insurers’ investment behaviour and the coronavirus (COVID-19) pandemic

Insurers’ investment behaviour and the coronavirus (COVID-19) pandemic

Essays in Financial Markets and Beliefs

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