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Risk And Return Determinants Of Us Insurers

Author

Listed:
  • Li Zhang
  • Norma Nielson
  • Joseph Haley

Abstract

This paper identifies the risk and risk-adjusted return determinants of US insurers. We find that the significant firm-specific determinants for risk and risk-adjusted return vary slightly for the risk proxy and risk-adjusted return proxy used, and the types of insurers. We find that in general, profitability, leverage, types of management compensation are significantly related to both total risk and systematic risk; in addition, size is positively related to systematic risk. Profitability and incentive pay are significant determinants for total-risk-adjusted return. Size is significantly negatively related to systematic-riskadjusted return. In addition to size, profitability and leverage are significant determinants for systematicrisk-adjusted return for Life insurers

Suggested Citation

  • Li Zhang & Norma Nielson & Joseph Haley, 2019. "Risk And Return Determinants Of Us Insurers," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 13(1), pages 63-72.
    • Handle: RePEc:ibf:ijbfre:v:13:y:2019:i:1:p:63-72
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    References listed on IDEAS

    as
    1. Shim, Jeungbo, 2010. "Capital-based regulation, portfolio risk and capital determination: Empirical evidence from the US property-liability insurers," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2450-2461, October.
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    Cited by:

    1. Tomislava Pavic Kramaric & Marko Miletic & Petar Pepur, 2023. "The Treynor Ratio as a Risk-adjusted Return of Croatian Listed Firms," International Journal of Economic Sciences, European Research Center, vol. 12(2), pages 92-106, November.

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    More about this item

    Keywords

    Firm-Specific Risk Determinants; Firm-Specific Risk-Adjusted-Return Determinants; Insurance Industry; Executive Compensation; Stock Exchange;
    All these keywords.

    JEL classification:

    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies

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