Browsing by Author "Ben Ammar, Semir"
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Article
The cross-section of expected stock returns in the property/liability insurance industry
Ben Ammar, Semir; Eling, Martin; Milidonis, Andreas (2018)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 ...