Data for Paper: The Impact of the Yield Curve on the Equity Returns of Insurance Companies

Data for Paper: The Impact of the Yield Curve on the Equity Returns of Insurance Companies

This study uses monthly data for all insurance companies listed on the major U.S. and Canadian public equity markets (NYSE, NASDAQ, and TSX) over the period between January 2000 and June 2019. This provides a sample of ninety-five U.S. insures and eight Canadian insurers. The monthly returns for both the U.S. and Canadian insurers are obtained through DataStream. The Fama-French factors, which include the market, size, and value factors, are obtained via AQR for the U.S. and Canada, respectively. The reasoning for obtaining these factors from AQR as opposed to Kenneth French’s website is because AQR has specific factors for Canada, while the Kenneth French website only has North American or Global factors to apply to the Canadian data. The interest rate data for the U.S. is obtained via the U.S. Federal Reserve Economic Database (FRED) and for Canada through Statistics Canada (Table 10-10-0122-01). Various interest rates are obtained to measure the various section of the term structure in both countries. These include the 3-month treasury, the two-, five- ten- and twenty-year notes and bonds.