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 -