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Cross-Industry Product Diversification and Contagion in Risk and Return: The case of Bank-Insurance and Insurance-Bank Takeovers

Elyasiani, E., Staikouras, S. and Dontis-Charitos, P. (2016). Cross-Industry Product Diversification and Contagion in Risk and Return: The case of Bank-Insurance and Insurance-Bank Takeovers. Journal Of Risk And Insurance, 83(3), pp. 681-718. doi: 10.1111/jori.12066

Abstract

We investigate the impact of domestic/international bancassurance deals on the risk-return profiles of announcing and nonannouncing banks and insurers within a GARCH model. Bank-insurance deals produce intra- and interindustry contagion in both risk and return, with larger deals producing greater contagion. Bidder banks and peers experience positive abnormal returns, with the effects on insurer peers being stronger than those on bank peers. Insurance-bank deals produce insignificant excess returns for bidder and peer insurers and positive valuations for peer banks. Following the deal, the bank bidders' idiosyncratic (systematic) risk falls (increases), while insurance bidders exhibit a lower systematic risk and maintain their idiosyncratic risk.

Publication Type: Article
Additional Information: This is the peer reviewed version of the following article: Elyasiani, E., Staikouras, S. K. and Dontis-Charitos, P. (2016), Cross-Industry Product Diversification and Contagion in Risk and Return: The case of Bank-Insurance and Insurance-Bank Takeovers. Journal Risk and Insurance, 83: 681–718., which has been published in final form at http://dx.doi.org/10.1111/jori.12066. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving.
Publisher Keywords: Cross-Industry, Bancassurance, Takeovers, Diversification, Spillovers, GARCH
Subjects: H Social Sciences > HG Finance
Departments: Cass Business School > Finance
URI: http://openaccess.city.ac.uk/id/eprint/15808
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