Loading...
Please wait, while we are loading the content...
Similar Documents
A Nonlinear Factor Analysis of S&P 500 Index Option Returns
| Content Provider | Semantic Scholar |
|---|---|
| Author | Jones, Christopher S. |
| Copyright Year | 2001 |
| Abstract | 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. Copyright 2006 by The American Finance Association. |
| Starting Page | 2325 |
| Ending Page | 2363 |
| Page Count | 39 |
| File Format | PDF HTM / HTML |
| DOI | 10.2139/ssrn.275892 |
| Volume Number | 61 |
| Alternate Webpage(s) | http://www-bcf.usc.edu/~christoj/pdf/jones_2006_jf.pdf |
| Alternate Webpage(s) | http://spaces.isu.edu.tw/upload/19258/-1/news/postfile_3489.pdf |
| Alternate Webpage(s) | https://doi.org/10.2139/ssrn.275892 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
