Download This PaperThe Role of CAT Bonds in an International Multi-Asset Portfolio: Diversifier, Hedge, or Safe Haven?
17 Pages Posted: 23 Apr 2019
Date Written: March 21, 2019
Abstract
We examine whether CAT bonds can serve as a hedge or a safe haven for global stock, bond, real estate, commodity, private equity, and infrastructure markets. Our results indicate that CAT bonds are a poor hedge, but they act as an effective diversifier against all asset classes under investigation. Moreover, CAT bonds can serve as a strong safe haven against extreme price drops of stocks only during the post-crisis period.
Keywords: CAT Bonds, Alternative Investments, Diversifier, Hedge, Safe Haven, DCC GARCH
JEL Classification: G11, G15
Suggested Citation: Suggested Citation
Drobetz, Wolfgang and Schröder, Henning and Tegtmeier, Lars, The Role of CAT Bonds in an International Multi-Asset Portfolio: Diversifier, Hedge, or Safe Haven? (March 21, 2019). Available at SSRN: https://ssrn.com/abstract=3359277 or http://dx.doi.org/10.2139/ssrn.3359277
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