The Market Valuation and Trading Volume Effects of the Creation of the Florida Hurricane Catastrophe Fund on Property‐liability Insurers

Pacini, Carl J.; Marlett, David C.

doi:10.1111/1468-5957.00379

Cited by 8 publications

(6 citation statements)

References 33 publications

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“…In methodology, the existing literature often employs event intervention model ( Goh and Law, 2002 ; Deryugina et al, 2018 ), event study method and natural experiment method ( Boehm et al, 2019 ) to conduct comparative analysis of economic conditions before and after the outbreak of major events, given the low frequency of the occurrence of events and the difficulty of data statistics. Pacini and Marlett (2001) find that insurance companies with hurricane risk exposure had more positive responses to stock prices, by employing generalized least square method and non-parametric event study technique. Ragin and Halek (2016) focusing on 43 disasters since 1970 that caused the largest insurance loss, present that insurance brokers received abnormal stock returns on the day of the event.…”

Section: Literature Reviewmentioning

confidence: 98%

The risk spillover effect of the COVID-19 pandemic on energy sector: Evidence from China

2021

Energy Economics

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Detecting the adverse effects of major emergencies on financial markets and real economy is of great importance not only for short-term policy reactions but also for economic and financial stability. This is the lesson we learnt from the COVID-19 pandemic. This paper focuses on the risk spillover effect of the COVID-19 on Chinese energy industry using a high-dimensional and time-varying factor-augmented VAR model. The results show that the net volatility spillovers of the pandemic remain positive to all underlying energy sectors during January to June of 2020 and February to April of 2021. For the former sub-period, the volatility spillover of the COVID-19 is not only the highest, but also lasts longest for oil exploitation sector, followed by the power and gas sectors. While for the latter sub-period, the COVID-19 has relatively higher volatility spillovers to the power, coal mining and petrochemical sectors. These findings suggest that the COVID-19 has significant risk spillover effects on Chinese energy sectors, and the effects vary among different energy sub-sectors and across different periods of time.

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Section: Literature Reviewmentioning

confidence: 98%

The risk spillover effect of the COVID-19 pandemic on energy sector: Evidence from China

2021

Energy Economics

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“…However, different measures often produce comparable results(Cervellati et al 2014). We follow the approach ofPacini and Marlett (2001) andClarkson et al (2006).…”

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confidence: 99%

Insider Trading and the Market Abuse Directive: Are Voluntary and Mandatory Takeover Bids Different?

2019

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This study analyzes the effectiveness of the Market Abuse Directive (MAD) in reducing possible profits from insider trading during takeover bids. Exploiting the quasi-experimental setting provided by the introduction of the MAD, our event-study analysis on the Italian market suggests that the new regulation did produce effects, for mandatory offers, on the magnitude of abnormal returns and volumes noted before their announcement. Instead, we find no effect for voluntary offers, which prove to be intrinsically different from the latter ones. Multivariate econometric analyses based on regression and matching methods confirm this result. We interpret our results in light of the choice problem of the optimal amount of insider trading, based on the comparison of marginal costs and benefits of the illegal activity, after considering the differences between voluntary and mandatory offers.

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“…Different measures often produce comparable results (Cervellati et al 2014). For methods similar to those followed in our study see, inter alia, Pacini and Marlett (2001) and Clarkson et al (2006). 8 In Italy, there are no mandatory restrictions on insider dealing (e.g., blackout periods), but only disclosure requirements.…”

Section: Insider-trading Regulationmentioning

confidence: 76%

Market Abuse Directive and Insider Trading: Evidence from Italian Tender Offers

2016

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This study analyzes the effectiveness of the Market Abuse Directive (MAD) in reducing possible profits from insider trading during voluntary tender offers with the purpose of delisting initiated by controlling shareholders. Exploiting the quasi-experimental setting provided by the introduction of the MAD, our event-study analysis on the Italian market suggests that the new regulation did not produce appreciable effects on the magnitude of abnormal returns and volumes noted before the announcement of a tender offer. Multivariate econometric analyses based on regression and matching methods confirm this result. However, poolability tests reveal that the MAD has changed the manner in which corporate characteristics influence the capacity of insiders to make profit. We interpret our results considering the choice problem of the optimal amount of insider trading, when comparing the marginal costs and benefits of the illegal activity.

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The Market Valuation and Trading Volume Effects of the Creation of the Florida Hurricane Catastrophe Fund on Property‐liability Insurers

Cited by 8 publications

References 33 publications

The risk spillover effect of the COVID-19 pandemic on energy sector: Evidence from China

The risk spillover effect of the COVID-19 pandemic on energy sector: Evidence from China

Insider Trading and the Market Abuse Directive: Are Voluntary and Mandatory Takeover Bids Different?

Market Abuse Directive and Insider Trading: Evidence from Italian Tender Offers

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