보험투자자의 주식투자성과 및 투자결정요인

An Analysis on Performance and Determinants of Insurance Companies’ Stock Investment

Purpose - The importance of investments by insurance companies in the Korean stock market is growing. Therefore, we examine the performance and the determinants of investments by insurance companies from 1999 to 2017. We also investigate whether the empirical results vary with the states of the economy or stock market conditions. Design/methodology/approach - This research uses portfolio analysis and Fama and MacBeth (1973) cross-sectional regression to analyze comprehensively. We focus on the momentum strategy which is known to be able to obtain significant positive excess returns in the Korean stock market since the 2000s. Findings - The main findings can be summarized as follows. First, insurance companies use the trading strategy that avoids a decline in profitability rather than a high profit. Second, insurance companies prefer past winner stocks with positive skewness, low turnover, and high one month prior return. Third, insurance companies tend to increase their investment during the period when the interest rate moves downward and they earn positive and significant returns on net buying position. Research implications or Originality - Using portfolio analysis and cross-sectional regression, we comprehensively analyze whether the rate of return differs depending on the net investment of the insurance investors and investigate the determinants of insurance companies’ stock investment.