Do life insurance stocks provide superior returns?

Mohammad Najand (), John Griffith and David C Marlett
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Mohammad Najand: College of Business and Public Administration, Old Dominion University

Journal of Asset Management, 2007, vol. 8, issue 1, No 5, 52-57

Abstract: Abstract This paper examines the risk/return relationship for life insurance stock returns using generalised autoregressive conditional heteroscedastic-capital asset pricing model (CAPM-GARCH). Prior studies use the traditional CAPM and fail to find risk-adjusted returns. Using CAPM-GARCH, we find that life insurance stocks provided 7.96 per cent risk-adjusted returns for the period 1985–2003. For the subperiods 1991–96 and 1997–2003, we find that life insurance stocks produced abnormal returns of 14.61 and 12.85 per cent, respectively. Based on these findings, we feel that financial analysts should recommend life insurance stocks for any well-diversified portfolio.

Keywords: life insurance stock returns; time-varying risk/return; abnormal returns; CAPM-GARCH; portfolio management (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1057/palgrave.jam.2250058

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