The Market Valuation and Trading Volume Effects of the Creation of the Florida Hurricane Catastrophe Fund on Property‐liability Insurers
研究佛罗里达飓风巨灾基金设立过程中六个立法事件对财产责任保险公司股价和交易量的影响，发现市场能根据飓风暴露和公司规模区分不同公司。
The Florida Hurricane Catastrophe Fund was officially created in November, 1993. This study analyzes investor reactions during the creation of the Florida Hurricane Catastrophe Fund. We find significant share price reactions for four of six legislative events consistent with the predictions of the theory outlined. We use both a generalized least squares portfolio approach and Corrado's (1989) rank statistic, a nonparametric event study methodology, to arrive at our findings. Empirical analysis of trading volume corroborates the findings involving share price reactions. We also find that the market is able to discriminate between property‐liability insurers on the basis of hurricane exposure and firm size.