This study examines whether an increase in the transparency of investment transactions facilitates portfolio mimicking. While there are reported benefits of transparency in enhancing regulatory monitoring and discipline, an increase in the transparency of investment transactions can also facilitate mimicking of peer firms’ investment strategies. I exploit an exogenous increase in the broad dissemination of transaction-level investment disclosures of U.S.-based insurers and find a significant increase in portfolio similarity at the individual security level. Increases in portfolio similarity are more pronounced in smaller, less sophisticated insurers mimicking their larger, more sophisticated peers. Shared asset positions and common exposures to risk can exacerbate collective risk across firms. Accordingly, I find that the detectable increases in portfolio similarity are positively associated with measures of systemic risk, especially in those smaller insurers mimicking their peers. This study adds to a nascent literature on portfolio mimicking and highlights a potential negative externality of increased transparency.

中文翻译：

---

交易层面的透明度和投资组合模拟


本研究考察了投资交易透明度的提高是否促进了投资组合模仿。虽然据报道透明度在加强监管监控和纪律方面有好处，但投资交易透明度的提高也可以促进模仿同行公司的投资策略。我利用了美国保险公司交易级投资披露的广泛传播的外生性增长，发现单个证券层面的投资组合相似性显著增加。在规模较小、技术较弱的保险公司中，与规模较大、技术较复杂的同行相比，投资组合相似性的增加更为明显。共享的资产头寸和共同的风险敞口可能会加剧公司之间的集体风险。因此，我发现投资组合相似性的可检测增加与系统性风险的衡量呈正相关，尤其是在那些模仿同行的小型保险公司中。这项研究补充了关于投资组合模拟的新生文献，并强调了透明度增加的潜在负面外部性。