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dc.contributor.authorJackwerth, Jens Carstenen_US
dc.contributor.authorConstantinides, George M.en_US
dc.contributor.authorCzerwonko, Michalen_US
dc.contributor.authorPerrakis, Steliosen_US
dc.date.accessioned2009-09-17en_US
dc.date.accessioned2010-05-14T12:00:30Z-
dc.date.available2010-05-14T12:00:30Z-
dc.date.issued2008en_US
dc.identifier.piurn:nbn:de:bsz:352-opus-54067-
dc.identifier.urihttp://hdl.handle.net/10419/32154-
dc.description.abstractAmerican call and put options on the S&P 500 index futures that violate the stochastic dominance bounds of Constantinides and Perrakis (2007) over 1983-2006 are identified as potentially profitable investment opportunities. Call bid prices more frequently violate their upper bound than put bid prices do, while evidence of underpriced calls and puts over this period is scant. In out-of-sample tests, the inclusion of short positions in such overpriced calls, puts, and, particularly, straddles in the market portfolio is shown to increase the expected utility of any risk averse investor and also increase the Sharpe ratio, net of transaction costs and bid-ask spreads. The results are strongly supportive of mispricing.en_US
dc.language.isoengen_US
dc.publisherCoFE Konstanzen_US
dc.relation.ispartofseriesDiscussion paper series // Zentrum für Finanzen und Ökonometrie, Universität Konstanz 2008,08en_US
dc.subject.jelG11en_US
dc.subject.jelG13en_US
dc.subject.jelG14en_US
dc.subject.ddc330en_US
dc.subject.keywordoption mispricingen_US
dc.subject.keywordfutures optionsen_US
dc.subject.keywordderivatives pricingen_US
dc.subject.keywordstochastic dominanceen_US
dc.subject.keywordtransaction costsen_US
dc.subject.keywordmarket efficiencyen_US
dc.titleAre options on index futures profitable for risk averse investors? Empirical evidenceen_US
dc.typeWorking Paperen_US
dc.identifier.ppn608955868en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
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