Life insurer cost of equity with asymmetric risk factors
| dc.contributor.author | Bajtelsmit, Vickie L., author | |
| dc.contributor.author | Villupuram, Sriram V., author | |
| dc.contributor.author | Wang, Tianyang, author | |
| dc.contributor.author | The Financial Review, publisher | |
| dc.date.accessioned | 2020-05-12T16:29:27Z | |
| dc.date.available | 2020-05-12T16:29:27Z | |
| dc.date.issued | 2015-07-16 | |
| dc.description | Includes bibliographical references (pages 17-19). | |
| dc.description | Published as: The Finanicial Review, vol. 50, no. 3, July 2015, pp. 435-457, https://doi.org/10.1111/fire.12073. | |
| dc.description.abstract | This study presents an improved model for estimating life insurer cost of capital with the inclusion of upside and downside risk factors and controlling for life insurer characteristics. Although various asymmetric measures of market risk have been shown to be priced factors for the broader equity market, life insurer realized equity returns include a much larger premium for bearing downside risk, even after controlling for firm characteristics and other measures of risk. Cross‐sectional regression analysis finds a positive (negative) premium for downside (upside) betas, conditional on down and up markets, respectively. Coskewness and cokurtosis are also priced factors. | |
| dc.format.medium | born digital | |
| dc.format.medium | articles | |
| dc.identifier.bibliographicCitation | Bajtelsmit, V., Villupuram, S., & Wang, T. (2015). Life Insurer Cost of Equity with Asymmetric Risk Factors. Financial Review, 50(3), 435–457. https://doi.org/10.1111/fire.12073 | |
| dc.identifier.uri | https://hdl.handle.net/10217/206718 | |
| dc.language | English | |
| dc.language.iso | eng | |
| dc.publisher | Colorado State University. Libraries | |
| dc.relation.ispartof | Faculty Publications | |
| dc.rights | ©2015 John Wiley & Sons, Inc. Author can archive pre-print. Author can archive post-print but subject to the restrictions: 12 months embargo for scientific, technical and medicine titles; 2 years embargo for humanities and social science titles. | |
| dc.rights | Copyright and other restrictions may apply. User is responsible for compliance with all applicable laws. For information about copyright law, please see https://libguides.colostate.edu/copyright. | |
| dc.subject | cost of equity | |
| dc.subject | upside risk | |
| dc.subject | downside risk | |
| dc.subject | equity market | |
| dc.subject | life insurance industry | |
| dc.subject | prospect theory | |
| dc.title | Life insurer cost of equity with asymmetric risk factors | |
| dc.type | Text |
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