publication . Other literature type . 2015

SHAREHOLDERS VALUE AND CATASTROPHE BONDS. AN EVENT STUDY ANALYSIS AT EUROPEAN LEVEL

Constantin, Laura-Gabriela; Cernat-Gruici, Bogdan; Lupu, Radu; Nadotti Loris, Lino Maria;
Open Access English
  • Published: 01 Jan 2015 Journal: Journal of economic and social developmen, volume 2, issue 1 (issn: 1849-6628, eissn: 1849-3327, Copyright policy)
  • Publisher: VADEA d.o.o.
Abstract
Considering that the E.U. based (re)insurance companies are increasingly active within the segment of alternative risk transfer market, the aim of the present paper is to emphasize the impact of issuing cat bonds on the shareholders’ value for highlighting the competitive advantages of the analysed (re)insurance companies while pursuing the consolidation of their resilience in a turbulent economic environment.Eminently an applicative research, the analysis employs an event study methodology whereas adjusting the market model residuals with the aim of accounting for generalized autoregressive conditional heteroskedastic (GARCH) effects through advanced econometri...
Subjects
free text keywords: alternative risk transfer solutions; catastrophe bonds; competitive advantage; event study; GARCH model
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