Carayannopoulos, Peter; Perez, M Fabricio - In: The Geneva Papers on Risk and Insurance - Issues and … 40 (2015) 1, pp. 1-28
Are catastrophe bonds (CAT bonds) zero-beta investments? Are they a valuable new source of diversification for investors? We study these questions by analysing the dynamic relations of CAT bond returns and the returns of the stock, corporate bond and government bond markets. Our multivariate...