We conduct a comprehensive asset pricing analysis for the U.S. property/liability insurance industry using monthly data … the returns of property/liability insurance stocks in a satisfactory way. We adapt the model proposed by Adrian, Friedman …, and Muir (2015) for financial institutions and define an insurance-specific five-factor asset pricing model (INS5), which …

higher degree of downside risk. To hedge against that specific risk, investors could buy put options. However, the … of short selling the underlying security, i.e. transfer risk to a third party, something not properly developed in the … necessary, in this paper we show the point calculating protection against downside risk in the Argentinean stock market, using …