Put-Call Parity and Expected Returns

Put-Call Parity and Expected Returns

This study examines the hypothesis that in the presence of market frictions, relative put and call prices contain information concerning future returns of the underlying asset. A measure of relative prices is derived from the put-call parity relationship for index options and applied to a three-year...

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Veröffentlicht in:Journal of financial and quantitative analysis 1991-12, Vol.26 (4), p.445-457
1. Verfasser: Finucane, Thomas J.
Format: Artikel
Sprache:eng
Schlagworte:
Call options
Coefficients
Dividends
Expected returns
Hypotheses
Implications
Market prices
Mathematical models
Options markets
Put & call options
Quantitative analysis
Securities markets
Securities prices
Statistical analysis
Stock index futures
Stock market indices
Stock markets
Stock prices
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Beschreibung
Zusammenfassung:This study examines the hypothesis that in the presence of market frictions, relative put and call prices contain information concerning future returns of the underlying asset. A measure of relative prices is derived from the put-call parity relationship for index options and applied to a three-year sample of OEX option transactions. The results show that the measure of relative index option prices leads the stock market by at least 15 minutes.
ISSN:0022-1090
1756-6916
DOI:10.2307/2331405