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

Research output: Journal contributionsJournal articlesResearchpeer-review

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 languageEnglish
Article number101198
JournalFinance Research Letters
Volume33
ISSN1544-6123
DOIs
Publication statusPublished - 01.03.2020
Externally publishedYes

Bibliographical note

Publisher Copyright:
© 2019 Elsevier Inc.

    Research areas

  • Alternative investments, Catastrophe bonds, DCC GARCH, Diversifier, Hedge, Safe haven
  • Management studies