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Directors' and Officers' liability insurance and cross section of expected stock returns: A mispricing explanation

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  • Su, Xuan-Qi

Abstract

To add to the literature on asset-pricing anomaly detection, this study tests the cross-sectional relationship between directors' and officers' liability insurance coverage (D&O insurance) and expected stock returns. A unique, near-complete sample of Taiwanese company stocks is used to document the D&O insurance anomaly that reveals stocks with high-D&O insurance significantly outperforming those with low-D&O insurance by 7% to 13% annually, after accounting for well-known risk factors. This high-minus-low D&O insurance return premium is robust to alternative weighting approaches and to the Fama–MacBeth regressions, which simultaneously control for various standard returns predictors and corporate governance measures. Furthermore, a D&O insurance-mimicking factor is used to document that the characteristic of D&O insurance can subsume the covariance of the D&O insurance-mimicking factor to predict returns, thus rejecting the rational risk explanation of the D&O insurance anomaly in favor of the behavioral mispricing explanation. Further evidence indicates that stocks of firms with high- (low-) D&O insurance tend to be undervalued (overvalued) and the high-minus-low D&O insurance return premium is concentrated among those undervalued stocks and is stronger in the presence of high limits-to-arbitrage, which are interpreted as consistent with the behavioral mispricing explanation.

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  • Su, Xuan-Qi, 2023. "Directors' and Officers' liability insurance and cross section of expected stock returns: A mispricing explanation," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
  • Handle: RePEc:eee:pacfin:v:77:y:2023:i:c:s0927538x23000045
    DOI: 10.1016/j.pacfin.2023.101938
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    Keywords

    Directors' and Officers' liability insurance; Asset pricing; Mispricing; Limits-to-arbitrage;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G34 - Financial Economics - - Corporate Finance and Governance - - - Mergers; Acquisitions; Restructuring; Corporate Governance

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