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Water as an Asset Class (Revised Version)

Author

Listed:
  • B. Michael Gilroy

    (University of Paderborn)

  • Heike Schreckenberg

    (University of Paderborn)

  • Volker Seiler

    (University of Paderborn)

Abstract

As correlations of asset returns increased and diversification effects vanished during the financial crisis, the search for new and potentially uncorrelated asset classes gains importance. As a result, several asset classes have been analyzed by academics in order to determine their diversification properties. In this article we take a closer look at water as an asset and its potential diversification benefits. Water as an alternative asset improves a traditional stock and bond portfolio. Though the enhancement of a portfolio’s Sharpe ratio due to the inclusion of water as an additional asset is of economic significance, we do not find evidence of statistical significance.

Suggested Citation

  • B. Michael Gilroy & Heike Schreckenberg & Volker Seiler, 2013. "Water as an Asset Class (Revised Version)," Working Papers CIE 55, Paderborn University, CIE Center for International Economics.
    • Handle: RePEc:pdn:ciepap:55
    as

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    File URL: http://groups.uni-paderborn.de/wp-wiwi/RePEc/pdf/ciepap/WP55.pdf
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    References listed on IDEAS

    as
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    6. Jack H. Rubens & David A. Louton & Elizabeth J. Yobaccio, 1998. "Measuring the Significance of Diversification Gains," Journal of Real Estate Research, American Real Estate Society, vol. 16(1), pages 73-86.
    7. Pesando, James E, 1993. "Art as an Investment: The Market for Modern Prints," American Economic Review, American Economic Association, vol. 83(5), pages 1075-1089, December.
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    Cited by:

    1. Díaz-Mendoza, Ana Carmen & Pardo, Ángel, 2023. "Water and traditional asset classes," Finance Research Letters, Elsevier, vol. 52(C).

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    More about this item

    Keywords

    Alternative Assets; Diversification; Water;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • Q25 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Renewable Resources and Conservation - - - Water

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