Zobrazeno 1 - 10
of 28
pro vyhledávání: '"Otto Randl"'
Publikováno v:
China Finance Review International. 13(1):1-22
PurposeThe authors analyze the equilibrium effects of non-tradable assets on optimal policy portfolios. They study how the existence of non-tradable assets impacts optimal asset allocation decisions of investors who own such assets and of investors w
Publikováno v:
Review of Quantitative Finance and Accounting. 59(4):825-855
Based on a large panel of listed firms from 52 countries in the period 2002–2020, we inves-tigate the relationship between corporate social responsibility (CSR) and equity risk. We confirm previous evidence that higher CSR scores are related to low
Publikováno v:
SSRN Electronic Journal.
Publikováno v:
Journal of Financial and Quantitative Analysis. 56:2389-2410
Important dimensions of dividend behavior are not well understood. How do dividends behave in extreme states of the world? Why is the risk premium on dividend claims so high? Would dividend bans in crisis states have plausible effects on firms' cost
Publikováno v:
SSRN Electronic Journal.
We investigate the sources of time-variation in the stock-oil correlation over the period 1983-2019. We first derive a novel oil futures return news decomposition following Campbell and Shiller (1988) and Campbell (1991). Then, for both stock and oil
Publikováno v:
SSRN Electronic Journal.
Publikováno v:
SSRN Electronic Journal.
In this paper we provide new evidence of investor inattention by showing that personal occurrences such as birthdays are able to drive attention away from the stock market. We document that individual investors significantly reduce their trading acti
Autor:
Otto Randl, Georg Cejnek
Publikováno v:
Journal of Empirical Finance. 36:181-198
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
Publikováno v:
SSRN Electronic Journal.
Asset managers usually define a policy portfolio to provide a long-term benchmark. According to the CAPM, the policy portfolio should be the value weighted market portfolio of all assets. However, the practical implementation of such a policy portfol