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• W2334266084 abstract "In this paper the reoccurring question of whether the life insurance industry's largest insurers possess and benefit from unique mortgage investment opportunities is examined. A portfolio adjustment model is presented which incorporates mortgage commitment behavior. Using this model and data for 15 insurers, speed of adjustment parameters are estimated for each insurer. The speed of adjustment, which is utilized as a measure of mortgage lending efficiency, is found to be invariant with respect to insurer size. This evidence suggests that the likelihood of significant aggregation bias in previous econometric work on life insurer mortgage investment is quite low. Amidst the vast and growing literature on bank and nonbank demand for financial assets, only a few studies have pursued questions concerning individual firm investment behavior. This preoccupation with aggregate analysis is surprising to the extent that the framework for financial modeling, first introduced by Meigs [23], DeLeeuw [12], and Goldfield [14], evolved from the fixed capital investment literature where models of aggregate behavior generally follow from investigations of how individual economic units behave.1 To assume incorrectly that firms behave in much the same way will not, in accordance with the doctrine of positive economics, invalidate the theory underlying the model. To assume incorrectly homogeneous behavior among firms may, however, lead to specifications bias and inconsistent estimates of model parameters. In this paper, the empirical question of homogeneous firm behavior is examined for life insurer mortgage lending activity. The purpose of the investigation is to consider the reoccurring question of whether certain very large [26, p. 559, n. 15] or super large [8, p. 269] life insurers possess and benefit from unique mortgage investment opportunities among firms in the industry. The examination is conducted using a partial adjustment model which specifically incorporates determinants of forward commitment behavior in the adjustment from desired to actual mortgage stocks. The empirical analysis uses annual data from 15 insurers over the period 1951 through" @default.
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• W2334266084 date "1981-06-01" @default.
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• W2334266084 title "Long-Term Effects of Firm Size on Life Insurer Mortgage Investment" @default.
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• W2334266084 doi "https://doi.org/10.2307/252743" @default.
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