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Asset pricing of financial institutions : the cross-section of expected stock returns in the property/liability insurance industry
Ben Ammar, Semir; Eling, Martin; Milidonis, Andreas - 2015
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 …
Persistent link: https://www.econbiz.de/10011345060
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The Bond Pricing Implications of Rating-Based Capital Requirements
Murray, Scott - 2020
This paper demonstrates that rating-based capital requirements, through their impact on insurers' investment demand, affect corporate bond prices. Consistent with insurers' low demand for investment-grade (IG) bonds with a rating close to non-investment-grade, these bonds are underpriced....
Persistent link: https://www.econbiz.de/10012854113
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Do Cat Bonds Bring Value to the Insurance Firm's Shareholders? An Event Study Analysis
Folus, Didier - 2016
Does a catastrophe bond issue increase the insurance firm value to shareholders? By issuing such bonds, insurance … size on the firm's value, and a positive impact of the insurance firm's securitization experience. Our findings offer …
Persistent link: https://www.econbiz.de/10012989972
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Did Federal Funds Target Rate Changes Affect the Market Value of Insurance Companies?
de Ceuster, Marc J. K. - 2015
In this paper, we study the sensitivity of insurance companies' stock returns with respect to expected and unexpected … general, insurance stock returns are only sensitive to the unexpected changes in the Federal funds target rate, but not to the …
Persistent link: https://www.econbiz.de/10013036250
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Suspension of insurers' dividends as a response to the Covid-19 crisis: evidence from equity market
Jakubik, Petr; Teleu, Saida - 2021
European Insurance and Occupational Pensions Authority issued on Thursday 2nd April 2020 a statement requesting (re)insurers to …
Persistent link: https://www.econbiz.de/10012490201
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Market Anomalies and Disaster Risk : Evidence from Extreme Weather Events
Lanfear, Matthew - 2018
We document strong abnormal effects due to U.S. landfall hurricanes over the period 1990 to 2017 on stock returns and illiquidity across portfolios of stocks sorted by market equity (ME), book-to-market equity ratio (BE/ME), momentum, return-on-equity (ROE), and investment-to-assets (I/A). ROE-...
Persistent link: https://www.econbiz.de/10012909024
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Blind to Carbon Risk? An Analysis of Stock Market’s Reaction to the Paris Agreement
Monasterolo, Irene - 2019
It is increasingly recognized that a transition to sustainable finance is crucial to scale up the low-carbon investments needed to achieve the global climate targets. A main barrier to portfolios' decarbonization is the lack of conclusive evidence on whether low-carbon investments add value to a...
Persistent link: https://www.econbiz.de/10012896966
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Climate Change Exposure and Stock Return Predictability
Xu, Jiangmin; Sun, Cheng; You, Yihui - 2021
This paper finds evidence that stock returns vary with the physical climate change exposure of firms in a predictable manner. We construct measures of exposures to physical climate changes at the firm level, and find that firms with high climate change exposures experience lower future...
Persistent link: https://www.econbiz.de/10013248340
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Carbon boards and transition risk: explicit and implicit exposure implications for total stock returns and dividend payouts
Mazzarano, Matteo; Guastella, Gianni; Pareglio, Stefano; … - 2021
The Security and Exchange Commission (SEC) has considered climate change as a risk issue since 2010. Several emission disclosure initiatives exist aimed at informing investors about the financial risks associated with a zero or low carbon transition. Stricter regulations, particularly in a few...
Persistent link: https://www.econbiz.de/10012694482
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Asset diversification versus climate action
Hambel, Christoph; Kraft, Holger; Ploeg, Frederick van der - 2020
Asset pricing and climate policy are analyzed in a global economy where consumption goods are produced by both a green and a carbon-intensive sector. We allow for endogenous growth and three types of damages from global warming. It is shown that, initially, the desire to diversify assets...
Persistent link: https://www.econbiz.de/10012258563