Research Publications Authored by SLIIT Staff

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This collection includes all SLIIT staff publications presented at external conferences and published in external journals. The materials are organized by faculty to facilitate easy retrieval.

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Author: search.filters.author.Alles, L. ASubject: search.filters.subject.Time Diversification

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    The cost of downside protection and the time diversification issue in South Asian stock markets
    (Routledge, 2008-06-01) Alles, L. A
    The objectives of this article are to carry out a comparative study of the costs of downside protection for investors in the stock markets of Bangladesh, India, Pakistan and Sri Lanka, and to investigate the time diversification issue in these markets by examining the variation of this cost as the investment horizon is extended. The cost of downside protection and time diversification effects are investigated by examining the properties of a protective put strategy and a capital protected equity participation strategy in each country’s stock market over investment horizons ranging from 1 to20 years. Long-horizon investment outcomes are generated using a bootstrapping technique. Results indicate that the cost of downside protection differs from one country to another, but there is a common pattern of the cost decreasing as the investment horizon lengthens. In overall terms, the pattern of decreasing protection costs at longer investment horizons is consistent with the notion of the time diversification benefits of investment risk.
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    The Effect of Investment Horizons on Risk, Return and End‐of‐Period Wealth for Major Asset Classes in Canada
    (Blackwell Publishing Ltd, 2006-06) Alles, L. A; Athanassakos, G
    The objective of this paper is to investigate whether the current pructice among financiul planners of recom- mending stocks at an eurly age and progressively mov- ing into cash or bonds as retirement upproaches would be uppropriate. We computed returns, risks and end-of- period wealth distributions of vurious Canadian asset classes at increasing horizons between I957 and 2003, bused on the bootstrapping technique. Results show that investment outcomes at short horizons can be quite d$- ferent from outcomes at longer horizons. Evidence is provided in jiavour of time diversificution, while the cur- renl market practice oj' life cycle investing is not fully supported as stocks continue to exhibit more favourable risk-return payoffs than other asset classes, even at shorter time intervuls