|Title:||Market reaction to regulatory action in the insurance industry: The case of contingent commission||Authors:||Cheng, Jiang
|Issue Date:||1-Jun-2010||Publisher:||WILEY-BLACKWELL||Journal Volume:||77||Journal Issue:||2||Start page/Pages:||347||Source:||Journal of Risk and Insurance||Abstract:||
We examine the market's reaction to New York Attorney General Eliot Spitzer's civil suit against mega-broker Marsh for bid rigging and inappropriate use of contingent commissions within a generalized autoregressive conditionally heteroskedastic (GARCH) framework. Effects on the stock returns of insurance brokers and insurers are tested. The findings are: (1) GARCH effects are significant in modeling broker/insurer returns; (2) the suit generated negative effects on the brokerage industry and individual brokers, suggesting that contagion dominates competitive effects; (3) spillover effects from the brokerage sector to insurance business are significant and mostly negative, demonstrating industry integration; and (4) information-based contagion is supported, as opposed to the pure-panic contagion. © The Journal of Risk and Insurance, 2009.
|Appears in Collections:||財務金融學系|
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