Cross-Industry Product Diversification and Contagion in Risk and Return: The case of Bank-Insurance and Insurance-Bank Takeovers

Elyasiani Elyas; Staikouras Sotiris K.; Dontis-Charitos Panagiotis

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Cross-Industry Product Diversification and Contagion in Risk and Return: The case of Bank-Insurance and Insurance-Bank Takeovers

机译：跨行业产品多元化和风险与收益传染：银行保险和保险银行接管的案例

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We investigate the impact of domestic/international bancassurance deals on the risk-return profiles of announcing and nonannouncing banks and insurers within a GARCH model. Bank-insurance deals produce intra- and interindustry contagion in both risk and return, with larger deals producing greater contagion. Bidder banks and peers experience positive abnormal returns, with the effects on insurer peers being stronger than those on bank peers. Insurance-bank deals produce insignificant excess returns for bidder and peer insurers and positive valuations for peer banks. Following the deal, the bank bidders' idiosyncratic (systematic) risk falls (increases), while insurance bidders exhibit a lower systematic risk and maintain their idiosyncratic risk.

机译：我们在GARCH模型中调查了国内/国际银行保险交易对宣布和不宣布的银行与保险公司的风险收益状况的影响。银行保险交易在行业内和行业间都在风险和收益方面产生传染性，较大的交易产生更大的传染性。投标人银行和同业经历了正的异常收益，对保险同业的影响要强于对同业的同业。保险银行的交易为投标人和同行保险公司带来了微不足道的超额收益，为同行银行带来了积极的估值。达成交易后，银行投标人的特质（系统性）风险下降（增加），而保险投标人的系统性风险较低，并保持其特质风险。

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来源
《The journal of risk and insurance》 |2016年第3期|681-718|共38页
作者
Elyasiani Elyas; Staikouras Sotiris K.; Dontis-Charitos Panagiotis;
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Temple Univ, Dept Finance, Philadelphia, PA 19122 USA|Hebrew Univ Jerusalem, IL-91905 Jerusalem, Israel|Wharton Financial Inst Ctr, Philadelphia, PA 19104 USA;

City Univ London, Cass Business Sch, Dept Finance, London EC1Y 8TZ, England;

Univ Westminster, Westminster Business Sch, Dept Accounting Finance & Governance, London NW1 5LS, England;

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机译：跨行业产品的多元化和风险与收益的传染：银行-保险和保险-银行接管的案例

Cross-Industry Product Diversification and Contagion in Risk and Return: The case of Bank-Insurance and Insurance-Bank Takeovers

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