ESTIMATING THE COST OF EQUITY CAPITAL FOR INSURANCE FIRMS WITH MULTIPERIOD ASSET PRICING MODELS

Barinov Alexander; Xu Jianren; Pottier Steven W.

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ESTIMATING THE COST OF EQUITY CAPITAL FOR INSURANCE FIRMS WITH MULTIPERIOD ASSET PRICING MODELS

机译：用多期资产定价模型估算保险公司的股本成本

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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.

机译：先前对保险人权益成本（COE）的研究集中于单期资产定价模型。然而，实际上，投资和消费决策是在多个时期内做出的，使公司面临与经济周期和市场波动有关的时变风险。我们通过研究两个多周期模型（条件资本资产定价模型（CCAPM）和跨期CAPM（ICAPM））来扩展文献。使用29年的数据，我们发现宏观经济因素显着影响并解释了保险公司的股票收益。保险公司具有反周期贝塔系数，这意味着在经济衰退期间其市场风险会增加。此外，保险公司对波动率风险（波动率上升时的损失风险）敏感，但在控制了其他整个经济方面的因素之后，对保险特定风险，金融业风险，流动性风险或偏斜性不敏感。

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《The journal of risk and insurance》 |2020年第1期|213-245|共33页
作者
Barinov Alexander; Xu Jianren; Pottier Steven W.;
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作者单位

Univ Calif Riverside Sch Business Dept Finance 900 Univ Ave Riverside CA 92521 USA;

Univ North Texas G Brint Ryan Coll Business Dept Finance Insurance Real Estate & Law 1155 Union Circle 305339 Denton TX 76203 USA;

Univ Georgia Terry Coll Business Dept Insurance Legal Studies & Real Estate 610 South Lumpkin St Athens GA 30602 USA;

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ESTIMATING THE COST OF EQUITY CAPITAL FOR INSURANCE FIRMS WITH MULTIPERIOD ASSET PRICING MODELS

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