We conduct a comprehensive asset pricing analysis for the U.S. property/liability insurance industry using monthly data from 1988 to 2015. We find that state-of-the-art models such as the Fama and French (2015) five-factor model cannot explain the returns of property/liability insurance stocks...

For life insurance companies and pension funds, it is always the case in practice that not all of the risks in their books can be hedged. Hence, the standard Black-Scholes methodology cannot be applied in this situation. This paper discusses and compares several methods that have been proposed...

This paper studies how over-the-counter market liquidity is affected by securities lending. We combine micro-data on corporate bond market trades with securities lending transactions and individual corporate bond holdings by U.S. insurance companies. Applying a difference-in-differences...

This paper studies how over-the-counter (OTC) market liquidity was adversely affected by the collapse of securities lending during the 2007-2008 financial crisis. We combine micro-data on corporate bond OTC market trades with securities lending transactions, in which life insurance companies are...

Catastrophe bonds are insurance linked securities that transfer catastrophe risks from the insurance industry to financial markets. These risks cannot be hedged with ordinary financial securities. Due to market incompleteness, arbitrage pricing methods generally do not yield uniquely determined...

Although various asymmetric measures of market risk have been shown to be priced factors for the broader equity market, life insurer realized equity returns include a much larger premium for bearing downside risk, even after controlling for firm characteristics and other measures of risk....

This study presents an improved model for estimating life insurer cost of capital with the inclusion of upside and downside risk factors and controlling for life insurer characteristics. Although various asymmetric measures of market risk have been shown to be priced factors for the broader...

Although the environmental, social, and governance (ESG) has gained increasing attention among investors, the extent to which ESG is compensated systematically in the market remains to be investigated. On the outperformance of responsible investing (RI) which incorporates ESG into investment...

This paper studies how over-the-counter market liquidity is affected by securities lending. We combine micro-data on corporate bond market trades with securities lending transactions and individual corporate bond holdings by U.S. insurance companies. Applying a difference-in-differences...

Previous research on insurer cost of equity (COE) focuses on single-period asset pricing models. In reality, however, investment and consumption decisions are made over multiple periods, exposing firms to time-varying risks related to economic cycles and market volatility. We extend the...