Do Life Insurance Stocks Provide Superior Returns?

14 Pages Posted: 25 Apr 2007

See all articles by Mohammad Najand

Mohammad Najand

Old Dominion University - Finance

John M. Griffith

Old Dominion University - Strome College of Business

David Marlett

Appalachian State University

Date Written: December 2005

Abstract

This paper examines the risk/return relationship for life insurance stock returns using CAPM-GARCH. Prior studies use the traditional CAPM and fail to find risk-adjusted returns. Utilizing CAPM-GARCH, we find life insurance stocks provided 7.96% risk adjusted returns for the period 1985-2003. For the sub periods 1991-1996 and 1997-2003, we find that life insurance stocks produced abnormal returns of 14.61% and 12.85% respectively. Based on these findings, we feel that financial analysts should recommend life insurance stocks for any well-diversified portfolio.

Keywords: Life Insurance Returns, GARCH, CAPM

JEL Classification: G22

Suggested Citation

Najand, Mohammad and Griffith, John M. and Marlett, David, Do Life Insurance Stocks Provide Superior Returns? (December 2005). Available at SSRN: https://ssrn.com/abstract=982567 or http://dx.doi.org/10.2139/ssrn.982567

Mohammad Najand (Contact Author)

Old Dominion University - Finance ( email )

School of Business and Public Administration
Norfolk, VA 23529-0222
United States
757-683-3509 (Phone)
757-683-5639 (Fax)

John M. Griffith

Old Dominion University - Strome College of Business ( email )

Finance Discipline
Norfolk, VA 23529
United States

David Marlett

Appalachian State University

3054 Raley Hall
Appalachian State University
Boone, NC 28608
United States

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