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  • 2012 Fall: Volume 10, Issue 2
  • Insurance Stock Returns Sensitivity to Changes in the Default Spread

    • Raja Bouzouita ;
    • Mihaela Craioveanu ;
    • Arthur J. Young

    Title:

    Insurance Stock Returns Sensitivity to Changes in the Default Spread

    Author(s):

    Raja Bouzouita
    Mihaela Craioveanu
    Arthur J. Young

    Publication Date:

    2012

    Journal Title:

    The Journal of Finance Issues

    Volume Number:

    10

    Issue Number:

    2

    Abstract:

    Default spreads between corporate bonds and government bonds proxy the systematic risk of default. Using insurance monthly stock returns covering a period from 2000 through 2009, this paper investigates empirically the relationship between insurance company stock returns and default spreads. We find evidence of stock return sensitivity to changes in the default spread. The results are consistent for property- liability and life-health insurance companies.

    First Page:

    132

    Last Page:

    139

    Total Pages:

    7