The name is absent

11

Marlett et al. (2003) also studies the impact of GLB. However, it focuses on the
different impact on life insurers and on property-liability insurers; and the market
impact rather than the impact to insurers’ survival rates.

The four hypotheses (Hl - H4) in this paper focus on different topics. Hl deals
with returns; H2 focuses on trading volumes; H3 compares the abnormal returns of
life insurers and property-liability insurers; and H4 examines any asymmetrical effects
of the GLB. The specific hypotheses are:

Hl: “The abnormal returns of insurers during the legislative enactment process
of the GLB were not significantly different from zero.”

H2: “The trading volume of insurers on legislative announcement days involving
the GLB was not significantly different from the trading volume on non-announcement
days.”

H3: “The abnormal returns of life insurers were not significantly different from
those of property-liability insurers on GLB announcement days.”

H4: “The GLB legislative enactment process had no differential effect on the
abnormal returns of insurers possessing different firm-specific characteristics.”

For hypothesis one, a generalized least squares (GLS) portfolio approach and a
nonparametric technique, Corrado’s rank statistic (Corrado, 1989), are used. The
dependent variable is the equally-weighted portfolio return for day t. Independent
variables include the market return for day t, a dummy variable indicating a life
insurer or not, and another indicator indicating the day t for the j^th event day, denoted

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