The role of catastrophe bonds in an international multi-asset portfolio: Diversifier, hedge, or safe haven?
Publikation: Beiträge in Zeitschriften › Zeitschriftenaufsätze › Forschung › begutachtet
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.
| Originalsprache | Englisch |
|---|---|
| Aufsatznummer | 101198 |
| Zeitschrift | Finance Research Letters |
| Jahrgang | 33 |
| ISSN | 1544-6123 |
| DOIs | |
| Publikationsstatus | Erschienen - 01.03.2020 |
| Extern publiziert | Ja |
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© 2019 Elsevier Inc.
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