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

Wolfgang Drobetz, Henning Schröder and Lars Tegtmeier

Finance Research Letters, 2020, vol. 33, issue C

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: Catastrophe bonds; Alternative investments; Diversifier; Hedge; Safe haven; DCC GARCH (search for similar items in EconPapers)
JEL-codes: G11 G15 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:33:y:2020:i:c:s1544612319302971

DOI: 10.1016/j.frl.2019.05.016

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