dc.contributor.author | Ben Ammar, Semir | en |
dc.contributor.author | Eling, Martin | en |
dc.contributor.author | Milidonis, Andreas | en |
dc.creator | Ben Ammar, Semir | en |
dc.creator | Eling, Martin | en |
dc.creator | Milidonis, Andreas | en |
dc.date.accessioned | 2021-01-25T08:37:17Z | |
dc.date.available | 2021-01-25T08:37:17Z | |
dc.date.issued | 2018 | |
dc.identifier.issn | 0378-4266 | |
dc.identifier.uri | http://gnosis.library.ucy.ac.cy/handle/7/62805 | en |
dc.description.abstract | 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 model cannot explain the returns of property/liability insurance stocks in a satisfactory way. We adapt the model proposed by Adrian et al. (2015) for financial institutions and define an insurance-specific five-factor asset pricing model (INS5), which can explain the cross-section of property/liability insurance-stock returns better than competing models. The priced factors are the market return, the book-to-market ratio, return on equity, short-term reversal, and the spread between the property/liability insurance sector and the market return. | en |
dc.language.iso | eng | en |
dc.source | Journal of Banking & Finance | en |
dc.source.uri | http://www.sciencedirect.com/science/article/pii/S037842661830195X | |
dc.title | The cross-section of expected stock returns in the property/liability insurance industry | en |
dc.type | info:eu-repo/semantics/article | |
dc.identifier.doi | 10.1016/j.jbankfin.2018.09.008 | |
dc.description.volume | 96 | |
dc.description.startingpage | 292 | |
dc.description.endingpage | 321 | |
dc.author.faculty | Σχολή Οικονομικών Επιστημών και Διοίκησης / Faculty of Economics and Management | |
dc.author.department | Τμήμα Λογιστικής και Χρηματοοικονομικής / Department of Accounting and Finance | |
dc.type.uhtype | Article | en |
dc.source.abbreviation | Journal of Banking & Finance | en |
dc.contributor.orcid | Milidonis, Andreas [0000-0001-9131-1098] | |
dc.gnosis.orcid | 0000-0001-9131-1098 | |