Expected Equity Option Returns

• 主要作者: ZHANG, Xue
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2009
• 主題: stock options; option portfolios; mispricing; CAPM alphas; risk premiums; Portfolio and Security Analysis
• 在線閱讀: https://ink.library.smu.edu.sg/etd_coll/16; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1015&context=etd_coll
• 機構: Singapore Management University

Substantial progress has been made in investigating `Overpriced Puts Puzzle' which exists in index futures options. However, scarce studies focus on whether single-stock options also have similar problems. This thesis analyzes the returns of individual stocks' calls, puts, and their portfo...