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

    127953_O'Connell%20OGrady%20490-04.pdf (266.0Kb)
    Access Status
    Open access
    Authors
    O'Connell, Darren
    O'Grady, Thomas (Barry)
    Date
    2009
    Type
    Working Paper
    
    Metadata
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    Citation
    O'Connell, Darren and O'Grady, Thomas (Barry). 2009. The buy-write strategy, index investment and the efficient market hypothesis: more Australian evidence, School of Economics and Finance Working Paper Series: no.09.02, Curtin University of Technology, School of Economics and Finance.
    Faculty
    Curtin Business School
    School of Economics and Finance
    URI
    http://hdl.handle.net/20.500.11937/13503
    Collection
    • Curtin Research Publications
    Abstract

    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.

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