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dc.contributor.authorHusmann, Sven
dc.contributor.authorLubnau, Thorben
dc.contributor.authorTodorova, Neda
dc.date.accessioned2017-05-03T16:07:47Z
dc.date.available2017-05-03T16:07:47Z
dc.date.issued2012
dc.date.modified2013-09-01T23:10:11Z
dc.identifier.issn13071637
dc.identifier.urihttp://hdl.handle.net/10072/52886
dc.description.abstractIn this paper, we seek to uncover temporal patterns in the DAX 30 German Blue Chip index for the period from 2000 to 2008 by identifying market expectations from option prices. To derive implicit expectations from option prices, we use a generalization of the model of Black and Scholes (1973). Our results indicate that the extracted implicit expectations exhibit pronounced forecasting power within fairly simple trading rules. Taking reasonable transaction costs into account, we find strong evidence that the trading strategies we used may lead to significant profits when investing in the DAX 30. In addition, we found our results to outperform traditional moving average trading strategies.
dc.description.peerreviewedYes
dc.description.publicationstatusYes
dc.languageEnglish
dc.language.isoeng
dc.publisherInternational Economic Society
dc.publisher.placeTurkey
dc.publisher.urihttps://www.econ-society.org/
dc.relation.ispartofstudentpublicationN
dc.relation.ispartofpagefrom121
dc.relation.ispartofpageto139
dc.relation.ispartofissue2
dc.relation.ispartofjournalInternational Journal of Economic Perspectives
dc.relation.ispartofvolume6
dc.rights.retentionY
dc.subject.fieldofresearchFinancial Economics
dc.subject.fieldofresearchEconomics
dc.subject.fieldofresearchcode140207
dc.subject.fieldofresearchcode14
dc.titleMarket Expectations and Option Prices: Evidence for the DAX 30
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.date.issued2012
gro.hasfulltextNo Full Text
gro.griffith.authorTodorova, Neda


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