Estimating the cost of equity capital for insurance firms with multiperiod asset pricing models
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| 001 | MAP20200009405 | ||
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| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | $0MAPA20200006138$aBarinov, Alexander | ||
| 245 | 1 | 0 | $aEstimating the cost of equity capital for insurance firms with multiperiod asset pricing models $cAlexander Barinov, Jianren Xu, Steven W. Pottier |
| 520 | 3 | $aPrevious 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. | |
| 650 | 4 | $0MAPA20080590567$aEmpresas de seguros | |
| 650 | 4 | $0MAPA20080567637$aValor capital | |
| 650 | 4 | $0MAPA20080611248$aInversiones financieras | |
| 650 | 4 | $0MAPA20080588434$aToma de decisiones | |
| 650 | 4 | $0MAPA20080579432$aCiclos económicos | |
| 650 | 4 | $0MAPA20080585518$aGestión de activos | |
| 650 | 4 | $0MAPA20100016923$aRiesgo sistémico | |
| 650 | 4 | $0MAPA20090030312$aDerivados de volatilidad | |
| 650 | 4 | $0MAPA20080584344$aControl de riesgos | |
| 650 | 4 | $0MAPA20080547967$aLiquidez | |
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 700 | 1 | $0MAPA20180001611$aXu, Jianren | |
| 700 | 1 | $0MAPA20080230135$aPottier, Steven W. | |
| 773 | 0 | $wMAP20077000727$tThe Journal of risk and insurance$dNueva York : The American Risk and Insurance Association, 1964-$x0022-4367$g02/03/2020 Volumen 87 Número 1 - marzo 2020 , p. 213-245 |