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

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).