A research seminar
The Research Centre of the Faculty of Economics organized a research seminar on Wednesday, 21st October 2015 at the Faculty of Economics, University of Ljubljana.
Author: Otto Randl, PhD, WU Vienna University of Economics and Business
Coauthor: Georg Cejnek, PhD, WU Vienna University of Economics and Business
presented the article:
“Risk and Return of Short-Duration Equity Investments”
“We analyze a short-maturity equity investment strategy using traded claims on index dividends. We show that equity investments with constant short maturity outperform a systematic long position in the underlying equity index on a risk-adjusted basis and in absolute terms. Furthermore, we find higher international diversification benefits for this strategy, compared to traditional equity indices. We relate the observed out-performance to market downside exposure, in particular an options-based downside risk factor. We use a Lintner model to extract ex-ante risk premia implied in prices of dividend derivatives and find evidence for substantial time variation in expected returns.”
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