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Asset Quality, Firm Size and Volatility of Returns of Insurance Companies in Egypt

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Listed:
  • Salah Mohamed Eladly

Abstract

This article examines the hypotheses regarding the impact of asset quality and firm size on the volatility of returns (specifically, the standard deviation of return on assets and standard deviation of return on equity) of insurance companies in Egypt. The study utilizes the ARDL and GARCH models. The findings indicate that asset quality is related to the volatility of returns, as specified by the standard deviation of return on assets and the standard deviation of return on equity. The results reveal a positive relationship between asset quality and the volatility of returns. However, firm size (measured by the natural logarithm of total assets) demonstrates a negative relationship with the volatility of returns, as measured by both the standard deviation of return on equity and the standard deviation of return on assets. This paper focuses on investigating the relationship between asset quality and firm size with the volatility of returns, analyzing a sample of 23 Egyptian insurance firms over the period from 1999 to 2019.

Suggested Citation

  • Salah Mohamed Eladly, 2024. "Asset Quality, Firm Size and Volatility of Returns of Insurance Companies in Egypt," International Journal of Business and Management, Canadian Center of Science and Education, vol. 19(6), pages 308-308, December.
    • Handle: RePEc:ibn:ijbmjn:v:19:y:2024:i:6:p:308
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    References listed on IDEAS

    as
    1. Linda M. Hooks, 2003. "The impact of firm size on bank debt use," Review of Financial Economics, John Wiley & Sons, vol. 12(2), pages 173-189.
    2. Christophe Boucher & Gregory Jannin & Patrick Kouontchou & Bertrand Maillet, 2013. "An Economic Evaluation of Model Risk in Long-term Asset Allocations," Review of International Economics, Wiley Blackwell, vol. 21(3), pages 475-491, August.
    3. Etti G. Baranoff & Savas Papadopoulos & Thomas W. Sager, 2007. "Capital and Risk Revisited: A Structural Equation Model Approach for Life Insurers," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 74(3), pages 653-681, September.
    4. Shai Bernstein & Emanuele Colonnelli & Benjamin Iverson, 2019. "Asset Allocation in Bankruptcy," Journal of Finance, American Finance Association, vol. 74(1), pages 5-53, February.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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