ANNOUNCEMENTS OF ASSET-QUALITY PROBLEMS AND CONTAGION EFFECTS IN THE LIFE-INSURANCE INDUSTRY

• 成果类型: Article
• 署名作者: FENN, GW; COLE, RA
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/0304-405X(94)90003-5
• 发表日期: 1994
• 页码: 181-198
• 关键词: contagion; WRITEDOWN; Disintermediation; Life insurance

摘要

We investigate contagion effects in the stock returns of life insurance companies at the time of announcements by First Executive and Travelers of significant problems in their investment portfolios. We first demonstrate that investments in junk bonds or commercial mortgages are important for the shareholder wealth effects of other life insurance companies. We then directly link the shareholder wealth effects to characteristics of firms' customers. Our evidence shows that effects on shareholder wealth are larger for companies with significant junk bond/commercial mortgage assets and readily mobile customers as represented by guaranteed investment contracts (GICs).