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. Cross-sectional regression analysis finds a positive (negative) premium …

downside risk factors and controlling for life insurer characteristics. Although various asymmetric measures of market risk … larger premium for bearing downside risk, even after controlling for firm characteristics and other measures of risk. Cross …