Funding conditions and insurance stock returns : do insurance stocks really benefit from rising interest rate regimes?

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      <subfield code="a">Funding conditions and insurance stock returns</subfield>
      <subfield code="b">: do insurance stocks really benefit from rising interest rate regimes?</subfield>
      <subfield code="c">Tyler K. Jensen, Robert R. Johnson and Michael J. McNamara</subfield>
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      <subfield code="a">We  examine  funding  conditions  and  U.S.  insurance company stock returns. Although constrained funding conditions, signaled by restrictive Federal Reserve monetary policy, correspond with increases in the future payouts offixed-income  securities  held  by  insurance  firms  and potentially provide value through the liability side of insurer balance sheets, they also decrease the values of securities currently held in insurer portfolios. Prior research finds that restrictive policy has a negative effect on equity returns in general.  Our  results  suggest  the  negative  impacts  of constrained funding environments outweigh the potential positives, as insurance company stock returns are significantly lower during periods of constrained funding. This effect varies within a given funding state and also across insurer type. The effect is strongest during the first 3 months of a constrained funding environment and for life and health insurers types with longer portfolio durations. For property and liability (P&L) insurers, lower stock return performance only exists in the first 3 months of a constrained  funding  environment.  In  the  subsequent months, P&L insurers actually have higher stock returns during constrained periods, consistent with their typically shorter duration asset portfolios, which are more quickly rolled over into new higher-yielding securities</subfield>
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