Hostname: page-component-7479d7b7d-8zxtt Total loading time: 0 Render date: 2024-07-12T22:13:23.113Z Has data issue: false hasContentIssue false

Some Further Evidence on the Performance of Property-Liability Insurance Companies' Stock Portfolios

Published online by Cambridge University Press:  06 April 2009

Extract

The purpose of this paper is to investigate the performance of propertyliability insurance companies' stock portfolios from 1952 to 1968, and to show how that performance compared to the general stock market and investment company performance.

Type
Research Article
Copyright
Copyright © School of Business Administration, University of Washington 1978

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

[1]Basu, S.The Information Content of Price – Earnings Ratios.” Financial Management, Vol. 4, No. 2 (Summer 1975), pp. 5364.CrossRefGoogle Scholar
[2]Black, ,Fischer, ; Jensen, Michael C.; and Scholes, Myron. “The Capital Asset Pricing Model: Some Empirical Tests.” In Studies in the Theory of Capital Markets, edited by Jensen, Michael C.. Praeger Publishers, Inc. (1972), pp. 79121.Google Scholar
[3]Fama, Eugene F., and MacBeth, James D.. “Risk, Return and Equilibrium: Some Empirical Tests.” Journal of Political Economy (0506 1973), pp. 607636.CrossRefGoogle Scholar
[4]Friend, , Irwin, , and Blume, Marshall. “Measurement of Portfolio Performance under Uncertainty.” The American Economic Review, Vol. 60, No. 4 (09 1970), pp. 561575.Google Scholar
[5]Gentry, James A., and Pike, John R.. “An Empirical Study of the Risk-Return Hypothesis Using Common Stock Portfolios of Life Insurance Companies.” Journal of Financial and Quantitative Analysis, Vol. 5, No. 2 (06 1970), pp. 179186.CrossRefGoogle Scholar
[6]Gentry, , James, A., and Kim, Moon M.. “Semi-Variance: A Risk Measure for Portfolio Managers of Insurance Companies.” CPCU Annals, Vol. 25, No. 4 (12 1972), pp. 319337.Google Scholar
[7]Johnson, Keith B.Investment Organization, Policy and Practice in Property-Liability Insurance.” Journal of Risk and Insurance, Vol. 39, No. 1 (03 1972), pp. 5758.CrossRefGoogle Scholar
[8]Monroe, Robert J., and Trieschmann, James S.. “Portfolio Performance of Property-Liability Insurance Companies.” Journal of Financial and Quantitative Analysis, Vol. 7, No. 2 (03 1972), pp. 15951611.CrossRefGoogle Scholar
[9]Schlarbaum, Gary G.The Investment Performance of the Common Stock Portfolios of Property-Liability Insurance Companies.” Journal of Financial and Quantitative Analysis, Vol. 9, No. 1 (01 1974), pp. 89105.CrossRefGoogle Scholar
[10]Sharpe, William F.Mutual Fund Performance.” Journal of Business, Vol. 39, No. 1 (01 1, 1966), pp. 119138.CrossRefGoogle Scholar
[11]. Sharpe, William F.Portfolio Theory and Capital Markets. McGraw Hill, Inc. (1970).Google Scholar