期刊名称：Journal of Economic and Social Development (JESD)
印刷版ISSN：1849-3327
出版年度：2015
卷号：2
期号：1
页码：75-85
语种：English
出版社：VADEA d.o.o.,Varaždin, Mihanovićeva 4
摘要：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 econometric procedures. To account for the shareholders’ value, the research employs high frequency financial data (daily returns of stoc k-exchange listed (re)insurance companies) and the cat bonds’ announcement dates as economic events.
关键词：alternative risk transfer solutions; catastrophe bonds; competitive advantage; event study; GARCH model
