Shingo Goto

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and Richard Roll for useful conversations. We have greatly benefitted from comments by two anonymous referees and David Marshall, our discussant at the 2001 WFA and 2002 AFA meetings. All remaining errors are our own. Abstract We find that between 20 and 25 percent of the negative covariance between excess returns and inflation is explained by shocks to(More)
One of the main arguments for why life insurers are systemically important is that their investment decisions are highly correlated, i.e., that life insurers herd. We analyze U.S. life insurers' investment decisions in corporate bonds from 2002 to 2011 to provide evidence on whether investment activities are correlated across companies within the life(More)
We analyze the effect of taxes and government spending on quarterly market returns of stocks, government bonds, and corporate bonds. In US data from 1960 to 2000, a one standard deviation increase in the share of tax receipts in GDP has a statistically and economically significant effect on returns, lowering annualized expected returns by 4% and 9% at(More)
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