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

Wolfgang Drobetz; Henning Schröder; Lars Tegtmeier

doi:10.1016/j.frl.2019.05.016

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

Wolfgang Drobetz^*
, Henning Schröder
, Lars Tegtmeier

^*Corresponding author for this work

Research output: Journal contributions › Journal articles › Research › peer-review

20 Citations (Scopus)

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.

Original language	English
Article number	101198
Journal	Finance Research Letters
Volume	33
ISSN	1544-6123
DOIs	https://doi.org/10.1016/j.frl.2019.05.016
Publication status	Published - 01.03.2020
Externally published	Yes

Bibliographical note

Publisher Copyright:
© 2019 Elsevier Inc.

Research areas and keywords

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

ASJC Scopus Subject Areas

Finance

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10.1016/j.frl.2019.05.016

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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",

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doi = "10.1016/j.frl.2019.05.016",

language = "English",

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AU - Tegtmeier, Lars

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 - https://www.scopus.com/pages/publications/85067362244

U2 - 10.1016/j.frl.2019.05.016

DO - 10.1016/j.frl.2019.05.016

M3 - Journal articles

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VL - 33

JO - Finance Research Letters

JF - Finance Research Letters

M1 - 101198

ER -

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

Abstract

Bibliographical note

Research areas and keywords

ASJC Scopus Subject Areas

Access to Document

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