Estimating the cost of equity capital for insurance firms with multiperiod asset pricing models
Colección: Artículos
Título: Estimating the cost of equity capital for insurance firms with multiperiod asset pricing models / Alexander Barinov, Jianren Xu, Steven W. Pottier
Autor: Barinov, Alexander
Notas: Resumen: 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 literature by examining two multiperiod models-the conditional capital asset pricing model (CCAPM) and the intertemporal CAPM (ICAPM). Using 29 years of data, we find that macroeconomic factors significantly influence and explain insurer stock returns. Insurers have countercyclical beta, implying that their market risk increases during recessions. Further, insurers are sensitive to volatility risk (the risk of losses when volatility goes up), but not to insurance-specific risks, financial industry risks, liquidity risk, or coskewness after controlling for other economy-wide factors.
Registros relacionados: En: The Journal of risk and insurance. - Nueva York : The American Risk and Insurance Association, 1964- = ISSN 0022-4367. - 02/03/2020 Volumen 87 Número 1 - marzo 2020 , p. 213-245
Materia / lugar / evento: Empresas de seguros
Valor capital
Inversiones financieras
Toma de decisiones
Ciclos económicos
Gestión de activos
Riesgo sistémico
Derivados de volatilidad
Control de riesgos
Liquidez
Cálculo actuarial
Valor capital
Inversiones financieras
Toma de decisiones
Ciclos económicos
Gestión de activos
Riesgo sistémico
Derivados de volatilidad
Control de riesgos
Liquidez
Cálculo actuarial
Autores secundarios: Xu, Jianren
Pottier, Steven W.
Pottier, Steven W.
Otras clasificaciones: 6
Derechos: In Copyright (InC): http://rightsstatements.org/vocab/InC/1.0/
