We document extreme disruption in debt markets during the COVID-19 crisis: a severe price
crash accompanied by significant dislocations at the safer end of the credit spectrum …

We estimate an equilibrium demand-based corporate bond pricing model linking
institutional holdings to bond characteristics. Our estimates show heterogeneity in demand …

We identify and track over time the factors that make the financial system vulnerable to fire
sales by constructing an index of aggregate vulnerability. The index starts increasing quickly …

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 …

Variable annuities, which package mutual funds with minimum return guarantees over long
horizons, accounted for $1.5 trillion or 35% of US life insurer liabilities in 2015. Sales …

We construct a new data set tracking the daily value of life insurers' assets at the security
level. Outside of the 2008–2009 crisis, a 1 drop in the market value of assets reduces an …

We examine whether the concern about insurers selling similar assets due to an overlap in
holdings is justified. We measure this overlap using cosine similarity and find that insurers …

This special issue originates from a dual submission conference with the NBER Insurance
Working Group and the Corporate Finance Program in 2020. It brings a broader perspective …

Fire sales induced by investor redemptions have powerful spillover effects among funds that
hold the same assets, hurting peer funds' performance and flows, and leading to further …

I exploit a Dutch reform in the regulatory discount curve that makes the liabilities of pension
funds and insurance companies (P&Is) more sensitive to changes in 20-year interest rates …