Risk and Return Determinants of US Insurers

This paper identifies the risk and risk-adjusted return determinants of US insurers. We find that the significant firm-specific determinants for risk and risk-adjusted return vary slightly for the risk proxy and risk-adjusted return proxy used, and the types of insurers. We find that in general, profitability, leverage, types of management compensation are significantly related to both total risk and systematic risk; in addition, size is positively related to systematic risk. Profitability and incentive pay are significant determinants for total-risk-adjusted return. Size is significantly negatively related to systematic-riskadjusted return. In addition to size, profitability and leverage are significant determinants for systematicrisk-adjusted return for Life insurers