The role of catastrophe bonds in an international multi-asset portfolio: Diversifier, hedge, or safe haven?
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In: Finance Research Letters, Vol. 33, 101198, 01.03.2020.
Research output: Journal contributions › Journal articles › Research › peer-review
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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 -