The buy-write strategy, index investment and the efficient market hypothesis: more Australian evidence
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 Aust...
| Main Authors: | , |
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| Format: | Working Paper |
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School of Economics and Finance, Curtin Business School
2009
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| Online Access: | http://hdl.handle.net/20.500.11937/13503 |
| _version_ | 1848748364618792960 |
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| author | O'Connell, Darren O'Grady, Thomas (Barry) |
| author_facet | O'Connell, Darren O'Grady, Thomas (Barry) |
| author_sort | O'Connell, Darren |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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 confirms that the buy-write strategy outperforms the index-only portfolio on both a risk and return basis. In addition, the strategy is seen to produce abnormal returns and therefore provides further evidence that appears to violate the efficient market hypothesis. |
| first_indexed | 2025-11-14T07:03:52Z |
| format | Working Paper |
| id | curtin-20.500.11937-13503 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T07:03:52Z |
| publishDate | 2009 |
| publisher | School of Economics and Finance, Curtin Business School |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-135032017-01-30T11:37:29Z The buy-write strategy, index investment and the efficient market hypothesis: more Australian evidence O'Connell, Darren O'Grady, Thomas (Barry) covered call index portfolios total risk Buy-write systematic risk-adjusted excess returns efficient market hypothesis 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 confirms that the buy-write strategy outperforms the index-only portfolio on both a risk and return basis. In addition, the strategy is seen to produce abnormal returns and therefore provides further evidence that appears to violate the efficient market hypothesis. 2009 Working Paper http://hdl.handle.net/20.500.11937/13503 School of Economics and Finance, Curtin Business School fulltext |
| spellingShingle | covered call index portfolios total risk Buy-write systematic risk-adjusted excess returns efficient market hypothesis O'Connell, Darren O'Grady, Thomas (Barry) The buy-write strategy, index investment and the efficient market hypothesis: more Australian evidence |
| title | The buy-write strategy, index investment and the efficient market hypothesis: more Australian evidence |
| title_full | The buy-write strategy, index investment and the efficient market hypothesis: more Australian evidence |
| title_fullStr | The buy-write strategy, index investment and the efficient market hypothesis: more Australian evidence |
| title_full_unstemmed | The buy-write strategy, index investment and the efficient market hypothesis: more Australian evidence |
| title_short | The buy-write strategy, index investment and the efficient market hypothesis: more Australian evidence |
| title_sort | buy-write strategy, index investment and the efficient market hypothesis: more australian evidence |
| topic | covered call index portfolios total risk Buy-write systematic risk-adjusted excess returns efficient market hypothesis |
| url | http://hdl.handle.net/20.500.11937/13503 |