Are options on index futures profitable for risk-averse investors? : Empirical evidence

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dc.contributor.authorConstantinides, George M.deu
dc.contributor.authorCzerwonko, Michaldeu
dc.contributor.authorJackwerth, Jens
dc.contributor.authorPerrakis, Stylianosdeu
dc.date.accessioned2012-05-07T07:19:59Zdeu
dc.date.available2012-05-07T07:19:59Zdeu
dc.date.issued2011
dc.description.abstractAmerican options on the S&P 500 index futures that violate the stochastic dominance bounds of Constantinides and Perrakis (2009) from 1983 to 2006 are identified as potentially profitable trades. Call bid prices more frequently violate their upper bound than put bid prices do, while violations of the lower bounds by ask prices are infrequent. In out-of-sample tests of stochastic dominance, the writing of options that violate the upper bound increases the expected utility of any risk-averse investor holding the market and cash, net of transaction costs and bid-ask spreads. The results are economically significant and robust.eng
dc.description.versionpublished
dc.identifier.citationThe Journal of Finance ; 66 (2011), 4. - S. 1407-1437deu
dc.identifier.doi10.1111/j.1540-6261.2011.01665.xdeu
dc.identifier.ppn403021227deu
dc.identifier.urihttp://kops.uni-konstanz.de/handle/123456789/19099
dc.language.isoengdeu
dc.legacy.dateIssued2012-05-07deu
dc.rightsterms-of-usedeu
dc.rights.urihttps://rightsstatements.org/page/InC/1.0/deu
dc.subject.ddc330deu
dc.titleAre options on index futures profitable for risk-averse investors? : Empirical evidenceeng
dc.typeJOURNAL_ARTICLEdeu
dspace.entity.typePublication
kops.citation.bibtex
@article{Constantinides2011optio-19099,
  year={2011},
  doi={10.1111/j.1540-6261.2011.01665.x},
  title={Are options on index futures profitable for risk-averse investors? : Empirical evidence},
  number={4},
  volume={66},
  issn={0022-1082},
  journal={The Journal of Finance},
  pages={1407--1437},
  author={Constantinides, George M. and Czerwonko, Michal and Jackwerth, Jens and Perrakis, Stylianos}
}
kops.citation.iso690CONSTANTINIDES, George M., Michal CZERWONKO, Jens JACKWERTH, Stylianos PERRAKIS, 2011. Are options on index futures profitable for risk-averse investors? : Empirical evidence. In: The Journal of Finance. 2011, 66(4), pp. 1407-1437. ISSN 0022-1082. eISSN 1540-6261. Available under: doi: 10.1111/j.1540-6261.2011.01665.xdeu
kops.citation.iso690CONSTANTINIDES, George M., Michal CZERWONKO, Jens JACKWERTH, Stylianos PERRAKIS, 2011. Are options on index futures profitable for risk-averse investors? : Empirical evidence. In: The Journal of Finance. 2011, 66(4), pp. 1407-1437. ISSN 0022-1082. eISSN 1540-6261. Available under: doi: 10.1111/j.1540-6261.2011.01665.xeng
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kops.sourcefield.plainThe Journal of Finance. 2011, 66(4), pp. 1407-1437. ISSN 0022-1082. eISSN 1540-6261. Available under: doi: 10.1111/j.1540-6261.2011.01665.xdeu
kops.sourcefield.plainThe Journal of Finance. 2011, 66(4), pp. 1407-1437. ISSN 0022-1082. eISSN 1540-6261. Available under: doi: 10.1111/j.1540-6261.2011.01665.xeng
kops.submitter.emailoleg.kozlov@uni-konstanz.dedeu
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source.periodicalTitleThe Journal of Finance

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