Difference in behavior while using dynamic_cast with reference and pointers

I was checking the behavior of dynamic_cast and found that when it fails, std::bad_cast exception is thrown only if the destination is a reference type. If the destination is a pointer type then no exception is thrown from the cast. This is my sample code:

class A
{
    public:
        virtual ~A()
        {
        }
};

class B : public A
{
};

int  main()
{
    A* p = new A;

    //Using reference
    try
    {
    B& b = dynamic_cast<B&>(*p);
    }
    catch(std::bad_cast exp)
    {
    std::cout<<"Caught bad cast\n";
    }

    //Using pointer
      try
    {
    B* pB = dynamic_cast<B*>(p);

    if( pB == NULL)
    {
        std::cout<<"NULL Pointer\n";
    }
    }
    catch(std::bad_cast exp)
    {
    std::cout<<"Caught bad cast\n";
    }

    return 0;
}

Output is "Caught bad cast" and "NULL pointer". Code is compiled using VS2008. Is this the correct behavior ? If yes, then why there is a difference?