A Nonlinear factor analysis of S&P 500 index option returns

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Growing evidence suggests that extraordinary average returns may be obtained by trading equity index options, and that at least part of this abnormal performance is attributable to volatility and jump risk premia. This paper asks whether such priced risk factors are alone sufficient to explain these average returns. To provide an answer in as general as possible a setting, I estimate a flexible class of nonlinear models using all S&P 500 Index futures options traded between 1986 and 2000. The results show that priced factors contribute to these expected returns but are insufficient to explain their magnitudes, particularly for short-term out-of-the-money puts..Printed Journal

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Ketersediaan

Call Number	Location	Available
	PSB lt.dasar - Pascasarjana	1

Informasi Detail

Judul Seri

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No. Panggil

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Penerbit

: The American Finance Association.,

Deskripsi Fisik

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Bahasa

ISBN/ISSN

221082

Klasifikasi

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Tipe Isi

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Tipe Media

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Tipe Pembawa

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Edisi

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Subjek

Econometrics
Hedging
Asset allocation
studies
Rates of return
Options trading

Info Detail Spesifik

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Pernyataan Tanggungjawab

pa

Versi lain/terkait

Lampiran Berkas

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