Quotation Cejnek, Georg, Randl, Otto. 2016. Risk and Return of Short-Duration Equity Investments. Journal of Empirical Finance. 36 181-198.


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Abstract

We analyze short-duration equity investments using traded claims on index dividends. We show that investment strategies 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 outperformance to market downside exposure, in particular an options-based downside risk factor. We use three alternative models to extract ex-ante risk premia implied in the prices of dividend derivatives and find evidence for substantial time variation in expected returns.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Journal of Empirical Finance
Citation Index SSCI
WU Journalrating 2009 A
WU-Journal-Rating new FIN-A, STRAT-B, VW-C, WH-B
Language English
Title Risk and Return of Short-Duration Equity Investments
Volume 36
Year 2016
Page from 181
Page to 198
Reviewed? Y
DOI http://dx.doi.org/10.1016/j.jempfin.2016.01.017
Open Access N
JEL E43, G11, G12, G15

Associations

People
Cejnek, Georg (Details)
Randl, Otto (Details)
Organization
Institute for Finance, Banking and Insurance IN (Details)
Research Institute for Capital Markets FI (Details)
Research areas (Ă–STAT Classification 'Statistik Austria')
5358 Corporate finances (Details)
5361 Financial management (Details)
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