Essays on behavioral finance and insurance.

Format:

Book

Thesis/Dissertation

Author/Creator:

Park, Sojung Carol.

Contributor:

Doherty, Neil A., advisor.

University of Pennsylvania.

Language:

English

Subjects (All):

Finance.

0508.

Penn dissertations--Insurance and risk management.

Insurance and risk management--Penn dissertations.

Penn dissertations--Managerial science and applied economics.

Managerial science and applied economics--Penn dissertations.

Local Subjects:

Penn dissertations--Insurance and risk management.

Insurance and risk management--Penn dissertations.

Penn dissertations--Managerial science and applied economics.

Managerial science and applied economics--Penn dissertations.

0508.

Physical Description:

127 pages

Contained In:

Dissertation Abstracts International 70-06A.

System Details:

Mode of access: World Wide Web.

text file

Summary:

In the first chapter, I investigate whether investors overreacted to the World Trade Center terrorist attack or not, using insurers' stock returns. Short-term abnormal return reversals are observed after the 9/11 attack. The reversals may reflect the substantially increased uncertainty surrounding insurer stocks after the attack, meaning that the price reactions are efficient risk adjustments. However, after controlling for the changes in risks, I still find evidence of price reversals, which I attribute to investor overreaction. To bolster this claim, I provide evidence that reversals are stronger for insurers with higher information asymmetry, indicating that the reversals are likely due to behavioral biases. In the second chapter, I investigate the opacity of insurance companies. Using bid-ask spreads and probability of information-based trading as indicators of information asymmetry, I find that small insurers in NASDAQ have higher information asymmetry than non-financial firms, but the insurers in NYSE/AMEX do not show unusually high information asymmetry. I also show that the information asymmetry of insurers is higher for small, low Tobin's Q, weakly rated insurers, and insurers with more long-tailed lines of business, private bonds, and private structured bonds. In the third chapter, I evaluate the toughness towards consumers of 16 Asian BMS and its correlation with cultural and economic variables. I use principal components analysis to define a Maturity Index of insurance markets and reject a conjecture that, as markets become more mature and policyholders more sophisticated, countries adopt tougher BMS. Regression models to explain toughness indicate that using a Common Law legal system is a crucial factor in BMS design. Cultural variables, such as uncertainty avoidance and political risk, also influence BMS. Economic variables only have a mild impact.

Notes:

Thesis (Ph.D. in Insurance and Risk Management) -- University of Pennsylvania, 2009.

Source: Dissertation Abstracts International, Volume: 70-06, Section: A, page: 2170.

Adviser: Neil A. Doherty.

Local Notes:

School code: 0175.

ISBN:

9781109236163

Access Restriction:

Restricted for use by site license.