The Puzzle of Index Option Returns

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CONSTANTINIDES, George M., Jens Carsten JACKWERTH, Alexi SAVOV, 2012. The Puzzle of Index Option Returns

@techreport{Constantinides2012Puzzl-29678, series={Working Paper Series / Department of Economics}, title={The Puzzle of Index Option Returns}, year={2012}, number={2012‐35}, author={Constantinides, George M. and Jackwerth, Jens Carsten and Savov, Alexi} }

Savov, Alexi Jackwerth, Jens Carsten Savov, Alexi eng 2012 Jackwerth, Jens Carsten 2015-01-30T10:08:49Z Constantinides, George M. The Puzzle of Index Option Returns We construct a panel of S&P 500 index call and put option portfolios, daily adjusted to maintain targeted maturity, moneyness, and unit market beta, and test multi-factor pricing models. The standard linear factor methodology is applicable because the monthly portfolio returns have low skewness and are close to normal. We hypothesize that any one of crisis-related factors incorporating price jumps, volatility jumps, and liquidity (along with the market) explains the cross sectional variation in returns. Our hypothesis is not rejected, even when the factor premia are constrained to equal the corresponding premia in the cross-section of equities. The alphas of short maturity out-of-the-money puts become economically and statistically insignificant. Constantinides, George M. 2015-01-30T10:08:49Z

Dateiabrufe seit 30.01.2015 (Informationen über die Zugriffsstatistik)

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