| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16302 |
| 来源ID | Working Paper 16302 |
| Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence | |
| George M. Constantinides; Michal Czerwonko; Jens Carsten Jackwerth; Stylianos Perrakis | |
| 发表日期 | 2010-08-27 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | American options on the S&P 500 index futures that violate the stochastic dominance bounds of Constantinides and Perrakis (2007) 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. |
| 主题 | Microeconomics ; General Equilibrium ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w16302 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/573976 |
| 推荐引用方式 GB/T 7714 | George M. Constantinides,Michal Czerwonko,Jens Carsten Jackwerth,et al. Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence. 2010. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w16302.pdf（239KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
