Comparative analysis of the Z-score models
| (1) | (2) | (3) | (4) | (5) | (6) | |
|---|---|---|---|---|---|---|
| Variables | Zs1 | Zs2 | Zs3 | Zs4 | Zs5 | Zs6 |
| Size | 0.153*** (0.039) | 0.157*** (0.044) | 0.139*** (0.039) | 0.155*** (0.040) | 0.128*** (0.038) | 0.145*** (0.039) |
| Profitability | 3.388** (1.661) | 3.906** (1.661) | 2.642 (1.813) | 3.213* (1.764) | 0.189 (1.436) | 3.982*** (1.339) |
| Capitalization | 2.697*** (0.415) | 2.716*** (0.429) | 2.635*** (0.420) | 2.743*** (0.424) | 2.691*** (0.409) | 2.819*** (0.380) |
| Reinsurance | −0.198 (0.299) | −0.086 (0.297) | −0.234 (0.311) | −0.238 (0.315) | −0.214 (0.297) | 0.345 (0.277) |
| Portfolio risk | 0.641 (0.490) | 0.391 (0.553) | 0.691 (0.476) | 0.636 (0.495) | 0.676 (0.470) | 0.574 (0.427) |
| Underwriting risk | −0.116 (0.123) | −0.079 (0.131) | −0.140 (0.129) | −0.126 (0.129) | −0.128 (0.124) | −0.221*** (0.127) |
| Long-tailed business | 0.013 (0.026) | 0.025 (0.027) | 0.016 (0.026) | 0.015 (0.026) | 0.017 (0.026) | 0.015 (0.024) |
| Mutual | 0.633*** (0.202) | 0.662*** (0.205) | 0.611*** (0.203) | 0.642*** (0.205) | 0.596*** (0.199) | 0.418*** (0.190) |
| Life insurance | 0.680*** (0.206) | 0.699*** (0.214) | 0.691*** (0.211) | 0.693*** (0.210) | 0.613*** (0.208) | 0.719*** (0.206) |
| Industry concentration | −0.001 (0.002) | −0.003 (0.003) | 0.000 (0.002) | 0.000 (0.002) | 0.000 (0.002) | −0.000 (0.000) |
| Constant | −0.046 (1.263) | 1.192 (1.647) | −0.412 (1.316) | −0.452 (1.332) | −0.128 (1.263) | −1.123 (0.972) |
| Year dummies | Yes | Yes | Yes | Yes | Yes | Yes |
| Clustering level | Firm | Firm | Firm | Firm | Firm | Firm |
| Number of observations | 1,382 | 1,382 | 1,382 | 1,382 | 1,382 | 1,382 |
| Number of firms | 183 | 183 | 183 | 183 | 183 | 183 |
| R2 | 19.47% | 12.99% | 18.23% | 19.33% | 18.64% | 32.60% |
| Adjusted R2 | 18.53% | 11.97% | 17.27% | 18.38% | 17.69% | 31.81% |
| F-value | 7.97 (16, 182) | 6.85 (16, 182) | 8.02 (16, 182) | 8.16 (16, 182) | 9.06 (16, 182) | 12.41 (16, 182) |
| (1) | (2) | (3) | (4) | (5) | (6) | |
|---|---|---|---|---|---|---|
| Variables | ||||||
| Size | 0.153*** (0.039) | 0.157*** (0.044) | 0.139*** (0.039) | 0.155*** (0.040) | 0.128*** (0.038) | 0.145*** (0.039) |
| Profitability | 3.388** (1.661) | 3.906** (1.661) | 2.642 (1.813) | 3.213* (1.764) | 0.189 (1.436) | 3.982*** (1.339) |
| Capitalization | 2.697*** (0.415) | 2.716*** (0.429) | 2.635*** (0.420) | 2.743*** (0.424) | 2.691*** (0.409) | 2.819*** (0.380) |
| Reinsurance | −0.198 (0.299) | −0.086 (0.297) | −0.234 (0.311) | −0.238 (0.315) | −0.214 (0.297) | 0.345 (0.277) |
| Portfolio risk | 0.641 (0.490) | 0.391 (0.553) | 0.691 (0.476) | 0.636 (0.495) | 0.676 (0.470) | 0.574 (0.427) |
| Underwriting risk | −0.116 (0.123) | −0.079 (0.131) | −0.140 (0.129) | −0.126 (0.129) | −0.128 (0.124) | −0.221*** (0.127) |
| Long-tailed business | 0.013 (0.026) | 0.025 (0.027) | 0.016 (0.026) | 0.015 (0.026) | 0.017 (0.026) | 0.015 (0.024) |
| Mutual | 0.633*** (0.202) | 0.662*** (0.205) | 0.611*** (0.203) | 0.642*** (0.205) | 0.596*** (0.199) | 0.418*** (0.190) |
| Life insurance | 0.680*** (0.206) | 0.699*** (0.214) | 0.691*** (0.211) | 0.693*** (0.210) | 0.613*** (0.208) | 0.719*** (0.206) |
| Industry concentration | −0.001 (0.002) | −0.003 (0.003) | 0.000 (0.002) | 0.000 (0.002) | 0.000 (0.002) | −0.000 (0.000) |
| Constant | −0.046 (1.263) | 1.192 (1.647) | −0.412 (1.316) | −0.452 (1.332) | −0.128 (1.263) | −1.123 (0.972) |
| Year dummies | Yes | Yes | Yes | Yes | Yes | Yes |
| Clustering level | Firm | Firm | Firm | Firm | Firm | Firm |
| Number of observations | 1,382 | 1,382 | 1,382 | 1,382 | 1,382 | 1,382 |
| Number of firms | 183 | 183 | 183 | 183 | 183 | 183 |
| 19.47% | 12.99% | 18.23% | 19.33% | 18.64% | 32.60% | |
| F-value | 7.97 (16, 182) | 6.85 (16, 182) | 8.02 (16, 182) | 8.16 (16, 182) | 9.06 (16, 182) | 12.41 (16, 182) |
Note(s): This table reports the ordinary least squares (OLS) regressions for different Z-score measures for the Spanish insurance sector during the period 2010–2017. Zs1 is defined in Equation [3], Zs2 is defined in Equation [4], Zs3 is defined in Equation [5], Zs4 is defined in Equation [6], Zs5 is defined in Equation [7], and Zs6 is defined in Equation [8]. The dependent variable is included in its logarithmic form. See Table 2 for a description of the independent variables. Robust standard errors, which are clustered by firms, are reported in parentheses. Significance levels are indicated as follows: *** = significance at the 1 percent level, ** = significance at the 5 percent level, and * = significance at the 10 percent level. The explanatory power of the model is highlighted in Italic
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