The determinants of investment returns in the fire insurance industry: the case of Sweden,1903-1939

摘要

We employ a panel data research design to examine the determinants of investment returns in the Swedish property fire insurance industry from 1903 to 1939 — a period of great economic and political uncertainty. Contrary to expectations, we find that mutual fire insurers generated systematically higher investment returns than stock fire insurers. Investment returns are inversely related to leverage but positively related to liquidity, showing that firms adopting a more precautionary investment strategy attain higher returns.