Data and Code for: Understanding the Ownership Structure of Corporate Bonds

Principal Investigator(s):  View help for Principal Investigator(s) Ralph Koijen, University of Chicago. Booth School of Business; Motohiro Yogo, Princeton University

Version:  View help for Version V1

Name File Type Size Last Modified
  Code 03/10/2022 03:02:PM
  Data 03/09/2022 05:01:PM
AllCode.do text/plain 1.5 KB 05/11/2022 11:37:AM
README.pdf application/pdf 133.5 KB 05/11/2022 11:37:AM

Project Citation: 

Koijen, Ralph, and Yogo, Motohiro. Data and Code for: Understanding the Ownership Structure of Corporate Bonds. Nashville, TN: American Economic Association [publisher], 2023. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2023-02-17. https://doi.org/10.3886/E164522V1

Project Description

Summary:  View help for Summary
Insurers are the largest institutional investors of corporate bonds. However, a standard theory of insurance markets, in which insurers maximize firm value subject to regulatory or risk constraints, predicts no allocation to corporate bonds. We resolve this puzzle in an equilibrium asset pricing model with leverage-constrained households and institutional investors. Insurers have relatively cheap access to leverage through their underwriting activity. They hold a leveraged portfolio of low-beta assets in equilibrium, relaxing other investors' leverage constraints. The model explains recent empirical findings on insurers' portfolio choice and its impact on asset prices.

Funding Sources:  View help for Funding Sources National Science Foundation (1727049)

Scope of Project

Subject Terms:  View help for Subject Terms Corporate bond market; Institutional investors; Insurance sector; Intermediary asset pricing; Leverage constraint
JEL Classification:  View help for JEL Classification
      G12 Asset Pricing; Trading Volume; Bond Interest Rates
      G22 Insurance; Insurance Companies; Actuarial Studies
Geographic Coverage:  View help for Geographic Coverage United States
Time Period(s):  View help for Time Period(s) 1945 – 2019
Universe:  View help for Universe US life insurers
US property and casualty insurers
Data Type(s):  View help for Data Type(s) administrative records data; event/transaction data

Methodology

Data Source:  View help for Data Source Board of Governors of the Federal Reserve System, Financial Accounts of the United States, 1945-2017
Board of Governors of the Federal Reserve System, Nominal Yield Curve, 1994-2019
Mergent Fixed Income Securities Database, 1994-2019
National Association of Insurance Commissioners Schedule D, 1994-2019
Unit(s) of Observation:  View help for Unit(s) of Observation Year
Geographic Unit:  View help for Geographic Unit United States

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Published Versions

V1 [2023-02-17]

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