The role of catastrophe bonds in an international multi-asset portfolio: Diversifier, hedge, or safe haven?
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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.
Original language | English |
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Article number | 101198 |
Journal | Finance Research Letters |
Volume | 33 |
ISSN | 1544-6123 |
DOIs | |
Publication status | Published - 01.03.2020 |
Externally published | Yes |
Bibliographical note
Publisher Copyright:
© 2019 Elsevier Inc.
- Alternative investments, Catastrophe bonds, DCC GARCH, Diversifier, Hedge, Safe haven
- Management studies