Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/32154 
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dc.contributor.authorJackwerth, Jens Carstenen
dc.contributor.authorConstantinides, George M.en
dc.contributor.authorCzerwonko, Michalen
dc.contributor.authorPerrakis, Steliosen
dc.date.accessioned2009-09-17-
dc.date.accessioned2010-05-14T12:00:30Z-
dc.date.available2010-05-14T12:00:30Z-
dc.date.issued2008-
dc.identifier.piurn:nbn:de:bsz:352-opus-54067en
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
dc.language.isoengen
dc.publisher|aUniversity of Konstanz, Center of Finance and Econometrics (CoFE) |cKonstanzen
dc.relation.ispartofseries|aCoFE Discussion Paper |x08/08en
dc.subject.jelG11en
dc.subject.jelG13en
dc.subject.jelG14en
dc.subject.ddc330en
dc.subject.keywordoption mispricingen
dc.subject.keywordfutures optionsen
dc.subject.keywordderivatives pricingen
dc.subject.keywordstochastic dominanceen
dc.subject.keywordtransaction costsen
dc.subject.keywordmarket efficiencyen
dc.titleAre options on index futures profitable for risk averse investors? Empirical evidence-
dc.type|aWorking Paperen
dc.identifier.ppn608955868en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cofedp:0808-

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