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

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The role of catastrophe bonds in an international multi-asset portfolio: Diversifier, hedge, or safe haven? / Drobetz, Wolfgang; Schröder, Henning; Tegtmeier, Lars.
In: Finance Research Letters, Vol. 33, 101198, 01.03.2020.

Research output: Journal contributionsJournal articlesResearchpeer-review

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@article{5336eb2ba3914e8cb1581abb422a9b65,
title = "The role of catastrophe bonds in an international multi-asset portfolio: Diversifier, hedge, or safe haven?",
abstract = "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.",
keywords = "Alternative investments, Catastrophe bonds, DCC GARCH, Diversifier, Hedge, Safe haven, Management studies",
author = "Wolfgang Drobetz and Henning Schr{\"o}der and Lars Tegtmeier",
note = "Publisher Copyright: {\textcopyright} 2019 Elsevier Inc.",
year = "2020",
month = mar,
day = "1",
doi = "10.1016/j.frl.2019.05.016",
language = "English",
volume = "33",
journal = "Finance Research Letters",
issn = "1544-6123",
publisher = "Elsevier B.V.",

}

RIS

TY - JOUR

T1 - The role of catastrophe bonds in an international multi-asset portfolio

T2 - Diversifier, hedge, or safe haven?

AU - Drobetz, Wolfgang

AU - Schröder, Henning

AU - Tegtmeier, Lars

N1 - Publisher Copyright: © 2019 Elsevier Inc.

PY - 2020/3/1

Y1 - 2020/3/1

N2 - 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.

AB - 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.

KW - Alternative investments

KW - Catastrophe bonds

KW - DCC GARCH

KW - Diversifier

KW - Hedge

KW - Safe haven

KW - Management studies

UR - http://www.scopus.com/inward/record.url?scp=85067362244&partnerID=8YFLogxK

U2 - 10.1016/j.frl.2019.05.016

DO - 10.1016/j.frl.2019.05.016

M3 - Journal articles

AN - SCOPUS:85067362244

VL - 33

JO - Finance Research Letters

JF - Finance Research Letters

SN - 1544-6123

M1 - 101198

ER -