TITLE
"Common Stock Returns and the Size of Loss," Journal of Insurance Issues, C. Ronald Sprecher and Mars A. Pertl. June 1989, Vol. XII, No. 2, pp. 92-109.

ABSTRACT
Previously Sprecher and Peril have shown that large losses resulting from a major catastrophe have a significant and immediate impact on the returns of common stock. This study extends their previous findings by examining a sample of losses to determine the relationship between the size of the loss and the effect on the price of the stock. It is shown that even relatively small losses have an impact on stock returns. Additionally, it is shown that the decline in stock returns is not the result of a change in the risk perception of the firm by individuals in the securities markets.