Marking Capital to Market for Non-Publicly Traded Companies : A Life Insurance Industry Case Study
Dearth of market values for firms in several industries is a serious limitation in empirical research. Book value and other proxies may not be satisfactory surrogates. This study provides the methodologies of matching-allocation and multiple imputation as remedies for lack of marked-to-market capital of life insurers. The methods are illustrated by a detailed application to the life insurance industry, for which the challenges are especially daunting on account of the large proportion of non-publicly traded insurers and the reporting of accounting data in two incompatible formats (SAP and GAAP). The matching-allocation method apportions GAAP values of parent insurers among subsidiaries by using selected SAP variables. The multiple imputation method is then employed to impute market values for U.S. life insurers that are neither publicly traded nor assigned a market value by the matching-allocation method. The major tangible product of this study is a database of 30 datasets for use in further empirical research. Each dataset contains a complete set of estimated market values of all U.S. life insurers in our sample. The advantage conferred by having multiple estimates for each insurer is to control for bias by properly assessing the error attributable to imputation. We show that the methodologies work through cross validation and an illustrative application. The major contribution is the opening of financial institutions and non-publicly traded firms to sophisticated empirical financial research that is currently not available
Year of publication: |
[2009]
|
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Authors: | Zhao, Liyan |
Other Persons: | Sager, Thomas W. (contributor) ; Baranoff, Etti G. (contributor) |
Publisher: |
[2009]: [S.l.] : SSRN |
Saved in:
freely available
Extent: | 1 Online-Ressource (42 p) |
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Series: | McCombs Research Paper Series ; No. IROM-03-09 |
Type of publication: | Book / Working Paper |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 27, 2008 erstellt |
Other identifiers: | 10.2139/ssrn.1274621 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012720296
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