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The informational value of insurance purchases: Evidence from the property-liability insurance market

  • Ligon, James A.
  • Cather, David A.
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    File URL: http://www.sciencedirect.com/science/article/B6VCY-3SX1KNR-B/2/b34833cbca5844f81f7499bea79e9d81
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    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 21 (1997)
    Issue (Month): 7 (July)
    Pages: 989-1016

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    Handle: RePEc:eee:jbfina:v:21:y:1997:i:7:p:989-1016
    Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

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    1. Stiglitz, Joseph E, 1969. "The Effects of Income, Wealth, and Capital Gains Taxation on Risk-Taking," The Quarterly Journal of Economics, MIT Press, vol. 83(2), pages 263-83, May.
    2. repec:fth:harver:1421 is not listed on IDEAS
    3. William B. Fairley, 1979. "Investment Income and Profit Margins in Property-Liability Insurance: Theory and Empirical Results," Bell Journal of Economics, The RAND Corporation, vol. 10(1), pages 192-210, Spring.
    4. Ralph A. Winter, 1991. "The Liability Insurance Market," Journal of Economic Perspectives, American Economic Association, vol. 5(3), pages 115-136, Summer.
    5. Hansen, Lars Peter & Singleton, Kenneth J, 1983. "Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 249-65, April.
    6. Jean-Jacques Laffont, 1989. "The Economics of Uncertainty and Information," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262121360, June.
    7. R. Mehra & E. Prescott, 2010. "The equity premium: a puzzle," Levine's Working Paper Archive 1401, David K. Levine.
    8. Gould, John P., 1974. "Risk, stochastic preference, and the value of information," Journal of Economic Theory, Elsevier, vol. 8(1), pages 64-84, May.
    9. Shmuel Kandel & Robert F. Stambaugh, 1991. "Asset Returns and Intertemporal Preferences," NBER Working Papers 3633, National Bureau of Economic Research, Inc.
    10. Harrington, Scott E, 1987. "A Note on the Impact of Auto Insurance Rate Regulation," The Review of Economics and Statistics, MIT Press, vol. 69(1), pages 166-70, February.
    11. Epstein, Larry G & Zin, Stanley E, 1991. "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis," Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 263-86, April.
    12. Alexander A. Robichek & Stewart C. Myers, 1966. "Valuation Of The Firm: Effects Of Uncertainty In A Market Context," Journal of Finance, American Finance Association, vol. 21(2), pages 215-227, 05.
    13. Fama, Eugene F., 1977. "Risk-adjusted discount rates and capital budgeting under uncertainty," Journal of Financial Economics, Elsevier, vol. 5(1), pages 3-24, August.
    14. Kreps, David M. & Porteus, Evan L., 1979. "Temporal von neumann-morgenstern and induced preferences," Journal of Economic Theory, Elsevier, vol. 20(1), pages 81-109, February.
    15. Chew, Soo Hong & Epstein, Larry G, 1989. "The Structure of Preferences and Attitudes towards the Timing of the Resolution of Uncertainty," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 30(1), pages 103-17, February.
    16. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
    17. Gron, Anne, 1994. "Evidence of Capacity Constraints in Insurance Markets," Journal of Law and Economics, University of Chicago Press, vol. 37(2), pages 349-77, October.
    18. Epstein, Larry G & Zin, Stanley E, 1989. "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework," Econometrica, Econometric Society, vol. 57(4), pages 937-69, July.
    19. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June.
    20. Epstein, Larry G & Turnbull, Stuart M, 1980. " Capital Asset Prices and the Temporal Resolution of Uncertainty," Journal of Finance, American Finance Association, vol. 35(3), pages 627-43, June.
    21. Anne Gron, 1994. "Capacity Constraints and Cycles in Property-Casualty Insurance Markets," RAND Journal of Economics, The RAND Corporation, vol. 25(1), pages 110-127, Spring.
    22. Robert E. Hall, 1981. "Intertemporal Substitution in Consumption," NBER Working Papers 0720, National Bureau of Economic Research, Inc.
    23. Mayers, David & Smith, Clifford W, Jr, 1982. "On the Corporate Demand for Insurance," The Journal of Business, University of Chicago Press, vol. 55(2), pages 281-96, April.
    24. Kihlstrom, Richard E & Romer, David & Williams, Steve, 1981. "Risk Aversion with Random Initial Wealth," Econometrica, Econometric Society, vol. 49(4), pages 911-20, June.
    25. Constantinides, George M., 1980. "Admissible uncertainty in the intertemporal asset pricing model," Journal of Financial Economics, Elsevier, vol. 8(1), pages 71-86, March.
    26. Machina, Mark J., 1984. "Temporal risk and the nature of induced preferences," Journal of Economic Theory, Elsevier, vol. 33(2), pages 199-231, August.
    27. Winter Ralph A., 1994. "The Dynamics of Competitive Insurance Markets," Journal of Financial Intermediation, Elsevier, vol. 3(4), pages 379-415, September.
    28. Raymond D. Hill, 1979. "Profit Regulation in Property-Liability Insurance," Bell Journal of Economics, The RAND Corporation, vol. 10(1), pages 172-191, Spring.
    29. Ross, Stephen A, 1981. "Some Stronger Measures of Risk Aversion in the Small and the Large with Applications," Econometrica, Econometric Society, vol. 49(3), pages 621-38, May.
    30. Alberto Giovannini & Philippe Weil, 1989. "Risk Aversion and Intertemporal Substitution in the Capital Asset Pricing Model," NBER Working Papers 2824, National Bureau of Economic Research, Inc.
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