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| Tekijä: | Pacini, C. Marlett, D. C. |
| Otsikko: | The Market Valuation and Trading Volume Effects of the Creation of the Florida Hurricane Catastrophe Fund on Property-liability Insurers |
| Lehti: | Journal of Business Finance and Accounting
2001 : VOL. 28:3-4, p. 407-446 |
| Asiasana: | TRADING VOLUMES PROPERTY INSURANCE |
| Kieli: | eng |
| Tiivistelmä: | The Florida Hurricane Catastrophe Fund was officially created in November, 1993. This study analyzes investor reactions during the creation of the Florida Hurricane Catastrophe Fund. The authors find significant share price reactions for four of six legislative events consistent with the predictions of the theory outlined. The authors use both a generalized least squares portfolio approach and Corrado's (1989) rank statistic, a nonparametric event study methodology, to arrive at the authors' findings. Empirical analysis of trading volume corroborates the findings involving share price reactions. The authors also find that the market is able to discriminate between property-liability insurers on the basis of hurricane exposure and firm size. |
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