Electronic Theses and Dissertations

Date of Award


Document Type


Degree Name

Ph.D. in Business Administration



First Advisor

Andre P. Liebenberg

Second Advisor

Cheng Cheng

Third Advisor

Andrew Lynch

Relational Format



The insurance industry manages a large amount of financial assets. In recent years, a growing number of investment companies are providing insurance asset management solutions, and the use of external asset management by the insurance industry is increasing over time. Therefore, understanding insurance asset management is important for academics and practitioners in both insurance and general finance. In the first essay, we investigate industrial portfolio tilt (referred to as “industry bias”) in the U.S. property liability insurers’ comstock portfolios. We find that U.S. property-liability insurers exhibit a negative industry bias by tilting their portfolios away from their own industry. We examine the nature of the industry bias and find that property-liability insurers have asymmetric information in investing in industrially close stocks but that their underwriting risk drives their portfolio tilt away from these stocks. Therefore, the property-liability insurers’ negative industry bias is driven by hedging in spite of information advantages. In the second essay, we investigate the betting-against-beta strategy in the presence of leverage in the U.S. property-liability insurance industry and empirically test whether these institutional investors’ leverage is an important determinant of their portfolio beta choice. Through empirical analysis, we find that property-liability insurers’ portfolio beta is not negatively related to their leverage, implying that these institutional investors do not bet against beta. In addition, we explore its explanation using a holdings-based calendar-time portfolio approach and find that these institutional investors’ low-beta portfolio does not outperform their high-beta portfolio. Overall, our results suggest that betting-against-beta strategy does not exist. In the third essay, we investigate the relation between cash holdings and market concentration in the U.S. property-liability insurance industry. We leverage the highly disaggregated nature of insurer statutory data to construct a refined market concentration measure, market space weighted concentration, which more accurately reflects an insurer’s state-line market space. Through our empirical analysis, we provide evidence in support of the predation risk theory. Specifically, insurers exposed to higher market concentration tend to hold more cash, and their cash is used to support future growth by reducing predation risk.


Emphasis: Finance

Included in

Finance Commons



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