Quotation Cejnek, Georg, Randl, Otto. 2014. Risk and Return of Short Duration Equity Investments.


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Abstract

We implement a simple 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 our strategy as compared to traditional equity indices, and consequently we construct a global short maturity portfolio. We relate the attractive performance to market downside exposure. However, alphas remain large and puzzling in the light of the fact that dividends have historically been sticky in the short run. On a theoretical level, our results support recent asset pricing models that imply a downward sloping termstructure of equity risk premia.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Working/discussion paper, preprint
Language English
Title Risk and Return of Short Duration Equity Investments
Year 2014
URL http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2374023

Associations

People
Cejnek, Georg (Details)
Randl, Otto (Details)
Organization
Institute for Finance, Banking and Insurance IN (Details)
Research Institute for Capital Markets FI (Details)
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