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Heterogeneous Market Timing: Evidence from the Catastrophe Bond Market
Type
conference speech
Date Issued
2024-06-25
Author(s)
Abstract
This paper investigates the heterogeneous outcomes of market timing decisions using a causal machine learning approach, offering more flexibility than traditional methods. Leveraging the diverse transaction profiles of the catastrophe bond market, we show that issuance timing materially affects primary market spreads, with earlier-issued catastrophe bonds priced more favourably. Capital availability in the reinsurance market and issuance size drive this variability, among other factors. Our findings highlight the importance of accounting for heterogeneity in market timing effects, providing new insights into how strategic timing decisions influence pricing dynamics, with broad implications for asset pricing, investment strategies, and risk management.
Event Title
2025 World Risk And Insurance Economic Congress
Event Location
Calgary Canada
Event Date
03-07 August 2025