Publication
Title
Did federal funds target rate changes affect the market value of insurance compagnies?
Author
Abstract
In this paper, we study the sensitivity of insurance companies stock returns with respect to expected and unexpected changes in the Federal funds target rate over the period 1988-2007. We confirm Bernanke and Kuttner (2005) that, as stocks in general, insurance stock returns are only sensitive to the unexpected changes in the Federal funds target rate, but not to the expected ones. However, market-adjusted stock returns do only show a reaction for the non-life insurers. For life insurers, there does not seem to be an industry specific effect on their market value. This can be explained by the business models life and nonlife insurers adopt.
Language
English
Source (series)
Reasarch paper / UA, Faculty of Applied Economics ; 2012:027
Publication
Antwerp : UA, 2012
Volume/pages
24 p.
Full text (open access)
UAntwerpen
Faculty/Department
Research group
Publication type
Subject
Affiliation
Publications with a UAntwerp address
External links
Record
Identification
Creation 16.01.2013
Last edited 04.09.2013
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