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

Link:
Autor/in:
Erscheinungsjahr:
2020
Medientyp:
Text
Schlagworte:
  • Alternative investments
  • Catastrophe bonds
  • DCC GARCH
  • Diversifier
  • Hedge
  • Safe haven
Beschreibung:
  • 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.
Lizenz:
  • info:eu-repo/semantics/closedAccess
Quellsystem:
Forschungsinformationssystem der UHH

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Quelldatensatz
oai:www.edit.fis.uni-hamburg.de:publications/cd3c7b34-dc5a-4b8a-b956-1375bb45286b