The role of catastrophe bonds in an international multi-asset portfolio: Diversifier, hedge, or safe haven?

Publikation: Beiträge in ZeitschriftenZeitschriftenaufsätzeForschungbegutachtet

Authors

We examine whether catastrophe bonds can serve as a hedge or a safe haven for global stock, bond, real estate, commodity, private equity, and infrastructure markets. Our findings indicate that catastrophe bonds are a poor hedge, but they act as an effective diversifier against other asset classes. Furthermore, catastrophe bonds serve as a strong safe haven against extreme price drops of the stock market only during the post-crisis period.

OriginalspracheEnglisch
Aufsatznummer101198
ZeitschriftFinance Research Letters
Jahrgang33
ISSN1544-6123
DOIs
PublikationsstatusErschienen - 01.03.2020
Extern publiziertJa

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Publisher Copyright:
© 2019 Elsevier Inc.

DOI