The buy-write strategy, index investment and the efficient market hypothesis: more Australian evidence

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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...

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Bibliographic Details
Main Authors:	O'Connell, Darren, O'Grady, Thomas (Barry)
Format:	Working Paper
Published:	School of Economics and Finance, Curtin Business School 2009
Subjects:	covered call index portfolios total risk Buy-write systematic risk-adjusted excess returns efficient market hypothesis
Online Access:	http://hdl.handle.net/20.500.11937/13503

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