Jeungbo Shim
Asia-Pacific Journal of Risk and Insurance,Vol. 11, Issue 2,

This study examines diversification-performance relationship in the US property-liability insurance industry over the period of 1996-2010. Unlike prior studies that rely on the conditional mean estimation method, we employ quantile regression, which captures the heterogeneous effects of diversification on conditional return distribution. The results show that diversification does not necessarily drive down risk-adjusted returns and its effects vary along return distribution. We find that there is a diversification discount for firms in the …
[Full Text]