Znanstveno-raziskovalni seminar
Raziskovalni center Ekonomske fakultete je organiziral znanstveno – raziskovalni seminar, ki je potekal v sredo, 21. oktobra 2015, na Ekonomski fakulteti v Ljubljani.
Dr. Otto Randl (soavtor dr. Georg Cejnek, oba iz WU Vienna University of Economics and Business) je predstavil članek: »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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