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 |
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Aufsatznummer | 101198 |
Zeitschrift | Finance Research Letters |
Jahrgang | 33 |
ISSN | 1544-6123 |
DOIs | |
Publikationsstatus | Erschienen - 01.03.2020 |
Extern publiziert | Ja |
Bibliographische Notiz
Publisher Copyright:
© 2019 Elsevier Inc.
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