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

RIS

@MISC{Cejnek2014,
title = {Risk and Return of Short Duration Equity Investments},
author = {Georg Cejnek and Otto Randl},
year = {2014},
url = {http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2374023},
language = {EN},
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.},
}