IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this article

Estimation of Capital Beta and Cost of Capital: A Focus on Japanese Property-liability Insurance Companies and Lines of Business

Listed author(s):
  • Shirasu Yoko

    (Aoyama Gakuin University, Japan)

  • Komoribayashi Katsuya

    (Waseda University, Japan)

  • Moridaira Soichiro

    (Waseda University, Japan)

Registered author(s):

    In this paper we estimate the equity beta and cost of capital of Japanese property liability insurance companies. For this, we obtain the overall equity beta and cost of capital for each company and then estimate the equity beta and cost of capital by the business lines. To obtain a companys overall equity beta, we use the one-factor capital asset pricing model (CAPM) and the three-factor Fama-French (FF) model. To estimate each business lines equity beta, we use the full-information industry beta (FIB) methodology. Econometric analysis reveals that the CAPM and FF models are well suited to estimating Japanese property-liability insurance companies the equity beta and cost of capital. Furthermore, by using the FIB methodology, we find that each the equity beta of each business line is different.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL:
    Download Restriction: For access to full text, subscription to the journal or payment for the individual article is required.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Article provided by De Gruyter in its journal Asia-Pacific Journal of Risk and Insurance.

    Volume (Year): 3 (2009)
    Issue (Month): 2 (April)
    Pages: 1-18

    in new window

    Handle: RePEc:bpj:apjrin:v:3:y:2009:i:2:n:5
    Contact details of provider: Web page:

    Order Information: Web:

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

    in new window

    1. Michael C. Ehrhardt & Yatin N. Bhagwat, 1991. "A Full-information Approach for Estimating Divisional Betas," Financial Management, Financial Management Association, vol. 20(2), Summer.
    2. Stewart C. Myers, 1972. "The Application of Finance Theory to Public Utility Rate Cases," Bell Journal of Economics, The RAND Corporation, vol. 3(1), pages 58-97, Spring.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:bpj:apjrin:v:3:y:2009:i:2:n:5. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Peter Golla)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.