The impact of COVID-19 pandemic on abnormal returns of insurance firms: a cross-country evidence

Umar Farooq, Adeel Nasir, Bilal and Muhammad Umer Quddoos

Applied Economics, 2021, vol. 53, issue 31, 3658-3678

Abstract: This research investigates the abnormal returns of 958 insurance companies from Australia, Canada, Germany, USA, UK, Brazil, India, and Indonesia under the COVID-19 scenario. This study deploys the event study methodology to analyse the effects of COVID-19 on stock returns both in the short and long terms. Results reveal that, overall, COVID-19 negatively affected the stock returns, particularly in the case of insurance firms operating in developing countries. This research also explores firm-specific determinants distinguishing the most affected insurance firms. It is found that firm size, systematic risk, price-earnings ratio, profitability, and dividend yield affect the intensity of abnormal returns in response to COVID-19 but in different event windows. The investors and policymakers should consider these factors in connection with the risk mitigating strategies.

Date: 2021
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DOI: 10.1080/00036846.2021.1884839

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