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...

Due to their relatively high yields and low return correlations with traditional asset classes, insurance-linked securities (ILS) are often described as an attractive investment opportunity. Yet, the investor base for ILS is largely dominated by a few specialized investment managers. The aim of...