Can we profit from natural disasters? The role of catastrophe bonds

Detalhes bibliográficos
Autor(a) principal: Simões, Ana Filipa de Sousa Azevedo
Data de Publicação: 2015
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.14/17977
Resumo: We study the profitability of catastrophe bonds from January 2001 to June 2014. Our empirical analysis finds positive returns on catastrophe bonds and shows that they increase right after the Atlantic hurricane season and suffer a major downturn with the occurrence of significant catastrophes. Additionally, seasonality is found, especially during the month of September. When compared with stock and government bond benchmarks, returns on catastrophe bonds show considerably better results. However, when compared to the high yield bond benchmark, they present a similar performance. Finally, when tested for different predetermined variables, both traditional stock and bond market variables as well as liquidity risk do not explain catastrophe bond performance.
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spelling Can we profit from natural disasters? The role of catastrophe bondsDomínio/Área Científica::Ciências Sociais::Economia e GestãoWe study the profitability of catastrophe bonds from January 2001 to June 2014. Our empirical analysis finds positive returns on catastrophe bonds and shows that they increase right after the Atlantic hurricane season and suffer a major downturn with the occurrence of significant catastrophes. Additionally, seasonality is found, especially during the month of September. When compared with stock and government bond benchmarks, returns on catastrophe bonds show considerably better results. However, when compared to the high yield bond benchmark, they present a similar performance. Finally, when tested for different predetermined variables, both traditional stock and bond market variables as well as liquidity risk do not explain catastrophe bond performance.Faias, José Afonso de Carvalho TavaresVeritati - Repositório Institucional da Universidade Católica PortuguesaSimões, Ana Filipa de Sousa Azevedo2015-07-07T14:27:06Z2015-04-1420152015-04-14T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.14/17977TID:201169851enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-01-23T01:40:06Zoai:repositorio.ucp.pt:10400.14/17977Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T18:15:02.081701Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Can we profit from natural disasters? The role of catastrophe bonds
title Can we profit from natural disasters? The role of catastrophe bonds
spellingShingle Can we profit from natural disasters? The role of catastrophe bonds
Simões, Ana Filipa de Sousa Azevedo
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Can we profit from natural disasters? The role of catastrophe bonds
title_full Can we profit from natural disasters? The role of catastrophe bonds
title_fullStr Can we profit from natural disasters? The role of catastrophe bonds
title_full_unstemmed Can we profit from natural disasters? The role of catastrophe bonds
title_sort Can we profit from natural disasters? The role of catastrophe bonds
author Simões, Ana Filipa de Sousa Azevedo
author_facet Simões, Ana Filipa de Sousa Azevedo
author_role author
dc.contributor.none.fl_str_mv Faias, José Afonso de Carvalho Tavares
Veritati - Repositório Institucional da Universidade Católica Portuguesa
dc.contributor.author.fl_str_mv Simões, Ana Filipa de Sousa Azevedo
dc.subject.por.fl_str_mv Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description We study the profitability of catastrophe bonds from January 2001 to June 2014. Our empirical analysis finds positive returns on catastrophe bonds and shows that they increase right after the Atlantic hurricane season and suffer a major downturn with the occurrence of significant catastrophes. Additionally, seasonality is found, especially during the month of September. When compared with stock and government bond benchmarks, returns on catastrophe bonds show considerably better results. However, when compared to the high yield bond benchmark, they present a similar performance. Finally, when tested for different predetermined variables, both traditional stock and bond market variables as well as liquidity risk do not explain catastrophe bond performance.
publishDate 2015
dc.date.none.fl_str_mv 2015-07-07T14:27:06Z
2015-04-14
2015
2015-04-14T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.14/17977
TID:201169851
url http://hdl.handle.net/10400.14/17977
identifier_str_mv TID:201169851
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
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reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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