Asset Quality, Firm Size and Volatility of Returns of Insurance Companies in Egypt

Salah Mohamed Eladly

International Journal of Business and Management, 2024, vol. 19, issue 6, 308

Abstract: This article examines the hypotheses regarding the impact of asset quality and firm size on the volatility of returns (specifically, the standard deviation of return on assets and standard deviation of return on equity) of insurance companies in Egypt. The study utilizes the ARDL and GARCH models. The findings indicate that asset quality is related to the volatility of returns, as specified by the standard deviation of return on assets and the standard deviation of return on equity. The results reveal a positive relationship between asset quality and the volatility of returns. However, firm size (measured by the natural logarithm of total assets) demonstrates a negative relationship with the volatility of returns, as measured by both the standard deviation of return on equity and the standard deviation of return on assets. This paper focuses on investigating the relationship between asset quality and firm size with the volatility of returns, analyzing a sample of 23 Egyptian insurance firms over the period from 1999 to 2019.

Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:ibn:ijbmjn:v:19:y:2024:i:6:p:308

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