A1250
Title: A safe haven index
Authors: Dirk Baur - UWA Business School (Australia)
Thomas Dimpfl - University of Hohenheim (Germany) [presenting]
Javier Pena - University of Hohenheim (Germany)
Abstract: The literature has identified several safe haven assets, but largely overlooked their collective dynamics. A novel safe haven index (SHI) designed to track the dynamics of the safe haven asset market is introduced. The index is based on the first principal component of all constituent assets and protects against extreme stock market shocks. Applying a linear factor pricing model, it is demonstrated that the SHI is a priced risk factor and exhibits characteristics akin to the HML factor in Fama and French's model.
