Showing 1 - 9 of 9
Few papers provide research about options returns, and the few available are focused in the analysis from the perspective of the long side of the option contract, i.e. the buyer that pays the price and her expected and realized option return. The main point of our research work is to provide a...
Persistent link: https://www.econbiz.de/10011392693
Persistent link: https://www.econbiz.de/10010400762
Persistent link: https://www.econbiz.de/10010393598
When analyzing options returns, most papers tend to focus on the expected and realized return from strategies where the investors are long on those financial instruments. We conduct a test searching for excess returns on passive options investment strategies resorting to a four factor model,...
Persistent link: https://www.econbiz.de/10011607422
Persistent link: https://www.econbiz.de/10011905061
Unlike passive management, where investors almost do not buy and sell securities, active management involves a set of trading rules that govern investment decisions regarding mainly market timing. In this paper, we take the basics of active management and the two fund separation approach, to...
Persistent link: https://www.econbiz.de/10012146691
The return dynamics of Argentina's main stock index, the SP Mer.Val., show a high level of volatility, signaling a higher degree of downside risk. To hedge against that specific risk, investors could buy put options. However, the Argentinean capital markets lacks variety of hedging contracts....
Persistent link: https://www.econbiz.de/10012121796
A value investing strategy consists of purchasing stocks relatively undervalued to their funda-mental values and selling those relatively overvalued. Finding this kind of companies has been one of the most challenging goals for investors throughout the history. The main objective of this paper...
Persistent link: https://www.econbiz.de/10012125294
Conventional financial theory considers ex-ante that risk, generally measured by the volatility, has to be appropriately rewarded by expected returns. In modern financial markets, there are countless quantitative and systematic strategies which may test and eventually lead to excess returns when...
Persistent link: https://www.econbiz.de/10011757486