The buy-write strategy, index investment and the efficient market hypothesis [electronic resource] :...
The buy-write strategy, index investment and the efficient market hypothesis [electronic resource] : more Australian evidence / by Darren O'Connell and Barry O'Grady.
About this item
Full title
Author / Creator
Publisher
[Perth, W.A. : School of Economics & Finance], Curtin University of Technology, 2009.
Date
2009.
Record Identifier
MMS ID
Language
English
Formats
Publication information
Publisher
[Perth, W.A. : School of Economics & Finance], Curtin University of Technology, 2009.
Series
Place of Publication
Western Australia
Date Published
2009.
Subjects
More information
Scope and Contents
Summary
The purpose of this study is to examine the performance of an index buy-write strategy in the using three portfolios based on the Whaley (2002) approach; one for a portfolio of bank bills, one for a benchmark index and the third for a benchmark index hedged by index call options. The study uses Australian daily data between 1991 and 2006 and confir...
Alternative Titles
Full title
The buy-write strategy, index investment and the efficient market hypothesis [electronic resource] : more Australian evidence / by Darren O'Connell and Barry O'Grady.
Authors, Artists and Contributors
Author / Creator
Notes
General note
[Working paper series / Curtin University of Technology, School of Economics and Finance], 1035-9450 ; 09.02.
Title from title screen (viewed on October 21, 2010).
"May 2009".
Includes bibliographical references (p. 24-25)
System details note
System requirements: Adobe Acrobat reader to read pdf file....
Contextual Information
Other version (online)
Identifiers
Primary Identifiers
Record Identifier
74VM0AdvqMPy
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/74VM0AdvqMPy
Other Identifiers
DDC
332.632220994
MMS ID
991001822969702626
