dc.contributor.author | Husmann, Sven | |
dc.contributor.author | Lubnau, Thorben | |
dc.contributor.author | Todorova, Neda | |
dc.date.accessioned | 2017-05-03T16:07:47Z | |
dc.date.available | 2017-05-03T16:07:47Z | |
dc.date.issued | 2012 | |
dc.date.modified | 2013-09-01T23:10:11Z | |
dc.identifier.issn | 13071637 | |
dc.identifier.uri | http://hdl.handle.net/10072/52886 | |
dc.description.abstract | In 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.peerreviewed | Yes | |
dc.description.publicationstatus | Yes | |
dc.language | English | |
dc.language.iso | eng | |
dc.publisher | International Economic Society | |
dc.publisher.place | Turkey | |
dc.publisher.uri | https://www.econ-society.org/ | |
dc.relation.ispartofstudentpublication | N | |
dc.relation.ispartofpagefrom | 121 | |
dc.relation.ispartofpageto | 139 | |
dc.relation.ispartofissue | 2 | |
dc.relation.ispartofjournal | International Journal of Economic Perspectives | |
dc.relation.ispartofvolume | 6 | |
dc.rights.retention | Y | |
dc.subject.fieldofresearch | Financial Economics | |
dc.subject.fieldofresearch | Economics | |
dc.subject.fieldofresearchcode | 140207 | |
dc.subject.fieldofresearchcode | 14 | |
dc.title | Market Expectations and Option Prices: Evidence for the DAX 30 | |
dc.type | Journal article | |
dc.type.description | C1 - Articles | |
dc.type.code | C - Journal Articles | |
gro.date.issued | 2012 | |
gro.hasfulltext | No Full Text | |
gro.griffith.author | Todorova, Neda | |