Centro de Documentacion de Fundación MAPFRE - Funding conditions and insurance stock returns : do insurance stocks really benefit from rising interest rate regimes?

MAP20200004417

Funding conditions and insurance stock returns : do insurance stocks really benefit from rising interest rate regimes? / Tyler K. Jensen, Robert R. Johnson and Michael J. McNamara

Sumario: 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

En: Risk management & insurance review. - Malden, MA : The American Risk and Insurance Association by Blackwell Publishing, 1999- = ISSN 1098-1616. - 02/12/2019 Tomo 22 Número 4 - 2019 , p. 367-391

1. Empresas de seguros . 2. Acciones . 3. Activos financieros . 4. Rendimiento . 5. Financiación . 6. Política monetaria . 7. Tipos de interés . 8. Cartera de seguros . 9. Estados Unidos . I. Johnson, Robert R. . II. McNamara, Michael J. . III. Título.