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TITLE
"Risk and Portfolio Returns for Life Insurance Stocks in Bull and Bear Markets," Journal of Insurance Issues,   Gay B. Hatfield and Jian Guo Chen. Spring 1997, Vol. XX, No. 1, pp. 67-83.

ABSTRACT
IDS Financial Services (1990) stated its belief that 20 percent of current life insurers could become insolvent should a major economic downturn occur. This study examines the risk-adjusted return performance and systematic risk change (as measured by a firm’s beta) of life insurance companies across various market conditions between 1973 and 1994. The results indicate that investors in life insurance company stocks earned positive risk-adjusted returns during the study time period, historically outperforming the market on a risk-adjusted basis. The systematic risk of life insurance stocks in a bear market is not statistically different from the market’s risk level, and, moreover, the firm’s risk level in a bull market is significantly less than in a bear market. In the most recent sub-period that we test (1990—1994), a life insurance firm’s systematic risk level is significantly greater than that of the market; therefore, these firms may be more sensitive to general market conditions than they formerly were.