This paper examines how liquidity and investors' heterogeneous liquidity preferences interact toaffect asset pricing. Using data on insurers' corporate bond holdings, we find that the illiquidity ofcorporate bond portfolios varies widely and persistently across insurers, and is related to...

We perform portfolio-level analysis to understand insurance firms' preferred-habitat behavior in the government bond market. Based on portfolio durations and portfolio weights across maturities, we find that insurers' aggregate government bond portfolio has stable interest rate risk exposure and...