Insurance stock returns and unanticipated money

Michael Nieswiadomy; Kenneth L. Smith

doi:10.1007/bf02303223

Insurance Stock Returns and Economic Growth

The Geneva Papers on Risk and Insurance Issues and Practice ◽

10.1057/gpp.2012.22 ◽

2012 ◽

Vol 37 (3) ◽

pp. 405-428 ◽

Cited By ~ 1

Author(s):

Chunyang Zhou ◽

Chongfeng Wu ◽

Donghui Li ◽

Zhian Chen

Keyword(s):

Economic Growth ◽

Stock Returns ◽

Insurance Stock

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Funding conditions and insurance stock returns: Do insurance stocks really benefit from rising interest rate regimes?

Risk Management and Insurance Review ◽

10.1111/rmir.12133 ◽

2019 ◽

Vol 22 (4) ◽

pp. 367-391 ◽

Cited By ~ 2

Author(s):

Tyler K. Jensen ◽

Robert R. Johnson ◽

Michael J. McNamara

Keyword(s):

Interest Rate ◽

Stock Returns ◽

Insurance Stock

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Catastrophes and Insurance Stocks – A Benchmarking Approach for Measuring Efficiency

Annals of Actuarial Science ◽

10.1017/s1748499511000340 ◽

2011 ◽

Vol 6 (1) ◽

pp. 103-136 ◽

Cited By ~ 2

Author(s):

Jason West

Keyword(s):

Stock Returns ◽

Factor Model ◽

Abnormal Returns ◽

Market Model ◽

Catastrophic Events ◽

Catastrophic Event ◽

Estimation Errors ◽

Cumulative Abnormal Returns ◽

Three Factor ◽

Insurance Stock

AbstractThis study uses the numeraire portfolio to benchmark insurance stock returns as a natural measure for detecting abnormal insurance stock returns from catastrophic events. The assumptions underlying the efficient markets hypothesis using a numeraire denominated returns approach hold for catastrophic insurance events whereas other more traditional methods such as the market model and Fama-French three factor model often fail, typically due to the accumulation of estimation errors. We construct a portfolio of Australian insurance firms and observe the market reaction to major insured catastrophic events. Using the numeraire denominated returns approach we observe no particular trend in the cumulative abnormal returns of insurance securities following a catastrophic event. Using both the traditional market model and the Fama-French three factor model however, we observe significantly positive cumulative abnormal returns following an insured catastrophic event. The errors inherent in the market model and three factor model for event studies are shown to be eliminated using the numeraire denominated returns approach.

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Freedom Indices and Capital Asset Pricing Model: Some Malaysian Evidence

International Journal of Management, Finance and Accounting ◽

10.33093/ijomfa.2020.1.1.1 ◽

2020 ◽

Vol 1 (1) ◽

pp. 1-21

Author(s):

Ying Tay Lee ◽

Devinaga Rasiah ◽

Ming Ming Lai

Keyword(s):

Human Rights ◽

Asset Pricing ◽

Stock Returns ◽

Firm Size ◽

Explanatory Power ◽

Least Square ◽

Press Freedom ◽

Capital Asset Pricing ◽

Capital Asset ◽

Cross Sectional

Human rights and fundamental freedoms such as economic, political, and press freedoms vary widely from country to country. It creates opportunity and risk in investment decisions. Thus, this study is carried out to examine if the explanatory power of the model for capital asset pricing could be improved when these human rights movement indices are included in the model. The sample for this study comprises of 495 stocks listed in Bursa Malaysia, covering the sampling period from 2003 to 2013. The model applied in this study employed the pooled ordinary least square regression estimation. In addition, the robustness of the model is tested by using firm size as a controlled variable. The findings show that market beta as well as the economic and press freedom indices could explain the cross-sectional stock returns of the Malaysian stock market. By controlling the firm size, it adds marginally to the explanation of the extended CAP model which incorporated economic, political, and press freedom indices.

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