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- Title
The Impact of Catastrophes on Insurer Stock Volatility.
- Authors
Thomann, Christian
- Abstract
This article investigates the impact of natural catastrophes and the 9-11 attacks on (1) the volatility of insurance stocks and (2) the correlation of insurance stocks with the market. We find that natural catastrophes increase the volatility of insurance stocks. They also have a tendency to reduce the correlation of insurance stocks and the market. Investors can, consequently, diversify natural catastrophe risk by additionally holdings of a market portfolio. However, this does not hold for 9-11. The events of 9-11 led to increases in volatility and, simultaneously, to an increase in correlation. We also find evidence that 9-11 increased the beta of insurance stocks.
- Subjects
DISASTER insurance; SEPTEMBER 11 Terrorist Attacks, 2001; INSURANCE stocks; INVESTORS; INSURANCE companies; INSURANCE
- Publication
Journal of Risk & Insurance, 2013, Vol 80, Issue 1, p65
- ISSN
0022-4367
- Publication type
Article
- DOI
10.1111/j.1539-6975.2012.01478.x