Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/218233 
Erscheinungsjahr: 
2000
Quellenangabe: 
[Journal:] South African Journal of Business Management [ISSN:] 2078-5976 [Volume:] 31 [Issue:] 4 [Publisher:] African Online Scientific Information Systems (AOSIS) [Place:] Cape Town [Year:] 2000 [Pages:] 149-155
Verlag: 
African Online Scientific Information Systems (AOSIS), Cape Town
Zusammenfassung: 
The objective of the study was to investigate the gains from market timing strategies using derivatives during a period when the return on the market was below that of the risk-free asset (a so-called bear period). It was found that perfect timers appear to do better under bullish rather than bearish markets. However, in a bear period, substantially lower predictive accuracies were needed to beat a buy and hold strategy when timing strategies using call options and holding cash (bull timing) were used compared to the strategy of holding the market and buying puts (bear timing) ahead of anticipated poor periods. Finally both the strategies of holding cash and buying a call in every period (market speculation) as well as of holding the market and buying a put in every period (portfolio insurance) out-performed a buy and hold strategy.
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by Logo
Dokumentart: 
Article

Datei(en):
Datei
Größe





Publikationen in EconStor sind urheberrechtlich geschützt.