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

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

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Prüfsumme: MD5:33872e52f74bcdeacea39fd2f5dc337b

CONSTANTINIDES, George M., Michal CZERWONKO, Jens Carsten JACKWERTH, Stylianos PERRAKIS, 2011. Are options on index futures profitable for risk-averse investors? : Empirical evidence. In: The Journal of Finance. 66(4), pp. 1407-1437. ISSN 0022-1082. eISSN 1540-6261

@article{Constantinides2011optio-19099, title={Are options on index futures profitable for risk-averse investors? : Empirical evidence}, year={2011}, doi={10.1111/j.1540-6261.2011.01665.x}, 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 Carsten and Perrakis, Stylianos} }

eng Czerwonko, Michal deposit-license 2012-05-07T07:19:59Z American 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. Constantinides, George M. Jackwerth, Jens Carsten Perrakis, Stylianos Constantinides, George M. Jackwerth, Jens Carsten 2012-05-07T07:19:59Z The Journal of Finance ; 66 (2011), 4. - S. 1407-1437 Czerwonko, Michal Perrakis, Stylianos 2011 Are options on index futures profitable for risk-averse investors? : Empirical evidence

Dateiabrufe seit 01.10.2014 (Informationen über die Zugriffsstatistik)

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