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The Performance of Nordic Insurance Stocks -A perspective from the abnormal return and the equity beta

Li, Hengye LU (2012) NEKN01 20121
Department of Economics
Abstract
Abstract: The paper examined two important components in the CAPM model, Jensen’s alpha and equity beta, on the Nordic Insurance Index from 2003 to 2011. We found that the Insurance stocks in the Nordic markets provided abnormal returns of 15.39% annually during the first study period 2003-2005, whereas no abnormal return was found for the subsequent periods and it was also the case for the entire duration. However our dummy variables method indicated that the beta values were stable during the three study periods. Stable beta stocks reduce uncertainty of future returns. We believed including this kind of the assets (Nordic insurance stocks) when constructing the portfolios would, to some extent, reduce the uncertainty of the future... (More)
Abstract: The paper examined two important components in the CAPM model, Jensen’s alpha and equity beta, on the Nordic Insurance Index from 2003 to 2011. We found that the Insurance stocks in the Nordic markets provided abnormal returns of 15.39% annually during the first study period 2003-2005, whereas no abnormal return was found for the subsequent periods and it was also the case for the entire duration. However our dummy variables method indicated that the beta values were stable during the three study periods. Stable beta stocks reduce uncertainty of future returns. We believed including this kind of the assets (Nordic insurance stocks) when constructing the portfolios would, to some extent, reduce the uncertainty of the future returns. (Less)
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author
Li, Hengye LU
supervisor
organization
course
NEKN01 20121
year
type
H1 - Master's Degree (One Year)
subject
keywords
Equity Beta, Abnormal Return, CAPM-GARCH model
language
English
id
2429978
date added to LUP
2012-04-04 13:43:36
date last changed
2012-04-04 13:43:36
@misc{2429978,
  abstract     = {Abstract: The paper examined two important components in the CAPM model, Jensen’s alpha and equity beta, on the Nordic Insurance Index from 2003 to 2011. We found that the Insurance stocks in the Nordic markets provided abnormal returns of 15.39% annually during the first study period 2003-2005, whereas no abnormal return was found for the subsequent periods and it was also the case for the entire duration. However our dummy variables method indicated that the beta values were stable during the three study periods. Stable beta stocks reduce uncertainty of future returns. We believed including this kind of the assets (Nordic insurance stocks) when constructing the portfolios would, to some extent, reduce the uncertainty of the future returns.},
  author       = {Li, Hengye},
  keyword      = {Equity Beta,Abnormal Return,CAPM-GARCH model},
  language     = {eng},
  note         = {Student Paper},
  title        = {The Performance of Nordic Insurance Stocks -A perspective from the abnormal return and the equity beta},
  year         = {2012},
}