Refine your search
Collections
Co-Authors
Journals
A B C D E F G H I J K L M N O P Q R S T U V W X Y Z All
Gupta, Mohit
- Portfolio Hedging through Options: Covered Call Versus Protective Put
Abstract Views :1468 |
PDF Views:1
Authors
Affiliations
1 Department of Business Management, Punjab Agricultural University Ludhiana 141004, Punjab
1 Department of Business Management, Punjab Agricultural University Ludhiana 141004, Punjab
Source
Journal of Management Research, Vol 13, No 2 (2013), Pagination: 118-126Abstract
The flexibility and cash outflow certainties make option contracts one of the most favored instruments for hedging purposes. Among various option-based strategies, protective put and covered call have been very popular. However, not much work has been carried out to check the relative hedging performance of covered call and protective put strategies. Moreover, research has remained largely limited to developed markets. This study compares the hedging performance of covered call and protective put strategies by utilizing total returns index for S&P CNX Nifty as a stock portfolio and hedging the same through options available on S&P CNX Nifty. It was found that both covered call and protective strategies could outperform a simple buy and hold portfolio on risk adjusted basis. Specifically, portfolio with 5% ITM short call and portfolio with 2% ITM long put had superior performance. On comparison, protective put strategy outperforms the covered call strategy both in terms of hedging effectiveness and risk adjusted returns. After adjusting for non-normality also, the portfolio with 2% ITM put option offered the best statistics.Keywords
Portfolio Hedging, Protective Put, Covered CallReferences
- Abid, F., Mroua, M. and Wong, W. K. (2007), Impact of Options Strategies in Financial Portfolio Performance: Mean-Variance and Stochastic Dominance Approaches. Retrieved on 25 March 2012, from http://ssrn.com/abstract=982332.
- Aggarwal, N. (2011), An Empirical Investigation into Performance of Covered Call Strategy on S&P CNX Nifty, Asia Pacific Business Review, 7(4): 80–90.
- Anderson, R. W. and Danthine, J. P. (1981), Cross Hedging, Journal of Political Economy, 81: 1182–1196.
- Bertrand, P. and Prigent, J. (2005), Portfolio Insurance Strategies: OBPI versus CPPI, Finance, 26: 5–32.
- Bertrand, P. and Prigent, J. (2003), Portfolio Insurance Strategies: A Comparison of Standard Methods When the Volatility of the Stock is Stochastic, International Journal of Business, 8(4): 461–72.
- Bhuyan, R. and Chaudhury, M. (2001), Trading on the Information Content of Open Interest: Evidence from the US Equity Options Market, Working Paper, McGill University.
- Bookstaber, R. and Clarke, R. G. (1985), Problems in Evaluating the Performance of Portfolios with Options, Financial Analysts Journal, January-February: 48–62.
- Booth, J. R., Tehranian, A. and Trennepohl, G. L. (1985), Efficiency Analysis and Option Portfolio Selection, Journal of Financial and Quantitative Analysis, 20: 435–450.
- Bose, S. (2007), Understanding the Volatility Characteristics and Transmission Effects in the Indian Stock Index and Index Futures Market, Money and Finance, ICRA Bulletin, 139–162.
- Brooks, C., Davies, R., and Kim, S.S. (2006), Cross Hedging with Single Stock Futures. Retrieved on 27 July 2010, from http://papers.ssrn.com/sol3/papers.cfm?abstract_id=937798.
- Brooks, R., Levy, H. and Yoder, J. (1987), Using Stochastic Dominance to Evaluate the Performance of Portfolios with Options, Financial Analysts Journal, March-April: 79–82.
- Callan Associates, Inc.( 2006), A Historical Evaluation of the CBOE S&P 500 Buy Write Index Strategy. Retrieved on 25 June 2009, from http://www.cboe.com/micro/bxm/Callan_CBOE.pdf.
- Clarke, R. G. (1987), Stochastic Dominance Properties of Option Strategies, in Fabozzi, F.J., (Ed), Advances in Futures and Options Research, pp. 1–18, Jai Press, London.
- Constantinides, G.M., Jackwerth, J. C., Czerwonko, M. and Perrakis, S. (2008), Are Options on Index Futures Profitable for Risk Averse Investors: Empirical Evidence. Retrieved on 29 November 2009, from http://cofe.uni-konstanz.de/Papers/dp08_08.pdf
- Crawford, G. (2005), Buy Writing Makes Comeback as Way to Hedge Risk, Pensions and Investments, 33(10): 3–29.
- Fama, E. (1970), Efficient Capital Markets: A Review of Theory and Empirical Work, The Journal of Finance, 25 (2): 383–417.
- Feldman, B. and Roy, D. (2004), Passive Options-based Investment Strategies: The Case of the CBOE S&P 500 Buy Write Index, Ibbotson Associates, Chicago.
- Fodor, A., Doran, J. S., Carson, J. M. and Kirch, D. P. (2010), On the Demand for Portfolio Insurance. Retrieved on 12 February, 2012, from http://ssrn.com/abstract=1636125.
- Hill, J. M., Balasubramanian, V., Gregory, K. and Tierens, I. (2006), Finding Alpha via Covered Call Writing, Financial Analyst Journal, 62(5): 29–46.
- Hoffman, A. O. I. and Fischer, E. T. S. (2010), Behavioral Aspects of Covered Call Writing: An Empirical Investigation. Retrieved on 11 November, 2011, from http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1089967.
- Isakov, D. and Morard, B. (2001), Improving Portfolio Performance with Options Strategies: Evidence from Switzerland, European Financial Management, 7(1): 73–91.
- Jarque, C. M. and Bera, A. K. (1980), Efficient Tests for Normality, Homoscedasticity and Serial Independence of Regression Residuals, Economics Letters, 6(3): 255–259.
- Kahneman, D. and Tversky, A. (1979), Prospect Theory: An Analysis of Decision under Risk, Econometrica, 47(2): 263–291.
- Kapadia, N. and Szado, E. (2007), The Risk and Return Characteristics of the Buy Write Strategy on Russell 2000 Index, Journal of Alternative Investments, 9(4): 39–56.
- Kumar, B., Singh, P. and Pandey, A. (2010), Hedging Effectiveness of Constant and Time-Varying Hedge Ratio in Indian Stock and Commodity Futures Market. Retrieved on 10 January, 2012, from http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1206555.
- Leland H. E. (1999), Beyond Mean-Variance: Performance Measurement in a Nonsymmetrical World, Financial Analyst Journal, 55: 27–35.
- Lhabitant, F. (2000), Derivatives in Portfolio Management: Why Beating the Market Is Easy, Derivatives Quarterly, 7(2): 37–46.
- Lodha, K. R. (2008), Derivatives in Indian Financial Market - Structure & Financial Concerns an Indian Perspective. Retrieved on 9 February, 2010, from http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1089967
- McIntyre, M. L. and Jackson, D. (2007), Great in Practice, Not in Theory: An Empirical Examination of Covered Call Writing, Journal of Derivatives and Hedge Funds, 13(1): 66–79.
- Merton, R. C., Scholes, M. S. and Gladstein, M. L. (1978), The Returns and Risk of Alternative Call Option Portfolio Investment Strategies, Journal of Business, 51(2): 183–242.
- Morard, B. and Naciri, A. (1990), Options and Investment Strategies, Journal of Futures Markets, 10: 505–517.
- Pezier, J. and Scheller, J. (2011), A Comprehensive Evaluation of Portfolio Insurance Strategies. Retrieved on 20 April, 2012, from http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1864533.
- Sharpe, W.F. (1966), Mutual Fund Performance, Journal of Business, 39: 119–138.
- Shefrin, H.( 2002), Beyond Greed and Fear: Understanding Behavioral Finance and the Psychology of Investing, Oxford University Press, New York.
- Shefrin, H. and Statman, M. (1993), Behavioral Aspects of the Design and Marketing of Financial Products, Financial Management, 22(2): 123–134.
- Tergesen, A. (2001), Taking Cover with Covered Calls, Business Week, May: 132–134.
- Thaler, R. (1985), Mental Accounting and Consumer Choice, Marketing Science, 4(3): 199–214.
- Trennepohl, G. and Dukes, W. (1981), An Empirical Test of Option Writing and Buying Strategies Utilizing In-the-money and Out-of-the-Money Contracts, Journal of Business Finance & Accounting, 8(2): 185–202.
- Treynor, J. L. (1965), How to Rate Management of Investment Funds, Harvard Business Review, 43: 63–75.
- Vrecko, D. and Branger, N. (2009), Why is Portfolio Insurance Attractive to Investors?. Retrieved on 12 March, 2012, from http://ssrn.com/abstract=1519344.
- Whaley, R. E. (2002), Return and Risk of CBOE Buy Write Monthly Index, Journal of Derivatives, 10(2): 35–42.
- Yates, J. W. and Kopprasch, R. W. (1980), Writing Covered Call Options: Profits and Risks, Journal of Portfolio Management, 6:74–79.
- The Impact of Stock Name Change on Shareholder Wealth
Abstract Views :944 |
PDF Views:3
Authors
Affiliations
1 School of Business Studies Punjab Agricultural University Ludhiana 141004, Punjab
1 School of Business Studies Punjab Agricultural University Ludhiana 141004, Punjab
Source
Journal of Management Research, Vol 14, No 1 (2014), Pagination: 15-24Abstract
Renaming of stock corresponds to creation of a new name with the intention of developing a differentiated position in the mind of investors. Stock renaming, although, commonly referred to in financial press and periodically posted on stock exchange websites, has received little attention from academia especially in Indian context. We aim to fill this gap by analysing the impact of corporate name change on shareholder's wealth, using event study methodology. We focus on firms listed on National Stock Exchange and Bombay Stock Exchange, who have made stock name change announcements in the period starting from 1 April 2010 to 31 March 2012. We sampled 55 stock name change announcements and further categorized them into large cap, mid cap, and small cap stocks. We found no evidence of significant abnormal returns or significant cumulative abnormal returns in the event period (e-5, e, e+5) for large cap and mid cap stocks. We do find evidence of significant positive cumulative abnormal returns in the e+5 period and significant abnormal positive returns on e- 1 and e-2 days for small cap stocks.Keywords
Stock Name Change, Event StudyReferences
- Akerlof, G. A. (1970), The Market for “Lemons”: Quality Uncertainty and The Market Mechanism, The Quarterly Journal of Economics, 488–500.
- Alchian, A. A. and Demsetz, H. (1972), Production, Information Costs, and Economic Organization, The American Economic Review, 62: 777–795.
- Bae, K. and Wang, W. (2009), What’s in a ‘China’ Name? Working Paper, York University, Canada.
- Berkman, H., Nguyen, N. and Zou, L. (2001), The Value Impact of Name Changes Evidence from Chinese Firms During Technology Boom, Journal of Chinese Economics and Business Studies, 1: 85–96.
- Bicha, K. (2006), Corporate Name Change and Shareholders Wealth Effect: A Case Study in the Tunisian Banking Industry, Working Paper, Departement Finance Et Compatbilite – Institut Superieur De Gestion De Sousse, Tunisie.
- Borges, M. and Branca, A. (2010), The Impact of Corporate Rebranding on The Firm’s Market Value, Working Paper, Technical University, Lisbon.
- Bosch, J. and Hirschey, M. (1989), The Valuation Effects of Corporate Name Changes, Financial Management, 18: 64–73.
- Boyd, C. W. (1985), Point of View: Alpha Numeric Brand Names, Journal of Advertising Research, 25: 48–52.
- Branca, A. S. and Borges, M. R. (2011), The Impact of Corporate Rebranding on The Firm’s Market Value, International Journal of Latest Trends in Finance and Economic Services, 1: 175–182.
- Bravo, R., Montaner, T. and Pina, J. (2009), Corporate Brand Image in Retail Banking: Development and Validation of A Scale, The Service Industries Journal, 30: 1199–1218.
- Bulkeley, W. M. (1987), A Firm by any Other Name Means Likely Rise in Stock, Research Finds, Wall Street Journal, July 10.
- Chajet, C. (1988), Identifying Symptoms of Identity Malaise, Management Review, 77: 49–50.
- Chajet, C. (1989), The Making of a New Corporate Image, Journal of Business Strategy, 10: 18–20.
- Chang, Y., Fok, R. and Yang, S. (2008), The Wealth Effects of Oil Related Name Changes on Stock Prices: Evidence from the US and Canadian Stock Markets, Working Paper, University of Wisconsin-parkside and National Chengchi University, Taiwan.
- Cooper, M., Dhimtrovn, O. and Rau, P. (1999), A Rose.com by any other Name, Journal of Finance, 54: 2371–88.
- Cooper, M., Gulen, H. and Rau, P. (2005), Changing Names with Style: Mutual Fund Name Changes and their Effects on Fund Flows, Journal of Finance, 60: 2825–58.
- Cooper, M., Khorana, A., Osobov, I., Patel, A. and Rau, P. (2002), The Game of The Name: Valuation Effects of Name Changes in a Market Downturn, Working Paper, Purdue University, Indiana, US.
- Daly, A. and Moloney, D. (2004), Managing Corporate Rebranding, Irish Marketing Review, 17: 30–36.
- Defanti, M. P. (2006), The Effect of Corporate Name Change Related to Change in Corporate Image upon Firm’s Stock Prices, Phd Dissertation, Graduate Studies of Texas A&M University, Tamuk.
- Delattre, E. (2002), Business Name Changes: The French Experience, Journal of Small Business Management, 40: 360–67.
- Dowling, G. (2006), How Good Corporate Reputations Create Corporate Value, Corporate Reputation Review, 9: 134–143.
- Einwiller, S. and Wills, M. (2002), Towards an Integrated Approach to Corporate Branding: An Empirical Study, International Journal of Management, 7: 100–09.
- Fama, E. (1970), Efficient Capital Markets: A Review of Theory and Empirical Work, Journal of Finance, 25: 383–417.
- Ferris, S. P. (1988), The Effect of Corporate Name Changes on Shareholder Wealth, Journal of Applied Business Research, 4: 40–49.
- Fich, E. and Hich, R. (2003), Firm Value Effect of Web Site Redesign, Working Paper, Zicklin School of Business, New York.
- Fombrun, C. and Shanley, M. (1990), What’s In A Name? Reputation Building and Corporate Strategy, Academy of Management Journal, 33: 233–258.
- Garbett, T. F. (1988), How to Build a Corporation’s Identity and Project its Image, Lexington Books, DC, Health and Company, Massachusetts.
- Hackett, B. H. (1988), Anatomy of a Name Change, Public Relations Journal, January 14.
- Higgins, K. T. (1989), Company Changes Name to Shed an Undeserved Image as Polluter, Marketing News, 23: 5.
- Horsky, D. and Swyngedouw, P. (1987), Does it Pay to Change Your Company’s Name? A Stock Market Perspective, Journal of Marketing Science, 6: 320–35.
- Howe, J. (1982), A Rose by any Other Name? A Note on Corporate Name Changes, Financial Review, 17: 271–78.
- Jensen, M. C. and Meckling, W. H. (1976), Theory of The Firm: Managerial Behavior, Agency Costs and Ownership Structure, Journal of Financial Economics, 3: 305–360.
- Karbhari, Y., Sori, Z. and Mohamad, S. (2004), Shareholder Wealth Effects and Corporate Name Changes: Evidence from Malaysia, Corporate Ownership and Control, 2: 38–49.
- Karpoff, J. and Rankine, G. (1994), In Search of a Signalling Effect: The Wealth Effects of Corporate Name Change, Journal of Banking and Finance, 18: 1027–45.
- Kay, M. (2006), Strong Brands and Corporate Brands, European Journal of Marketing, 40: 742–760.
- Keller, K. (2002), Branding and Brand Equity, Marketing Science Institute, Cambridge, MA.
- Kilic, C. and Dursun, T. (2006), The Effect of Corporate Identity Changes on Firm Value: An Empirical Investigation, Journal of The American Academy of Business, 10: 234–240.
- Kot, H. W. (2010), Corporate Name Changes: Price Reactions and Long Run Performance, Pacific Basin Journal of Finance, 19:230–244.
- Leff, S. (1987), Checklist: 10 Dos and Don’t of Naming, Public Relations Journal, December: 37–38.
- Mackinlay, A. (1997), Event Studies in Economics and Finance, Journal of Economic Literature, 35: 13–39.
- Mcwilliams, A. and Siegel, D. (1997), Event Studies in Management Research: Theoretical and Empirical Issues, Academy of Management Journal, 626–657.
- Marguiles, W. P. (1984), Playing The Name Game, Advertising Age, Feburary 20: 52.
- Morris, L. J. and Reyes, M. G. C. (1992), Corporate Name Changes: The Association Between Functional Name Characteristics and Stock Performance, Journal of Applied Business Research, 8: 110–17.
- Muzellec, L. and Lambkin, M. (2006), Corporate Rebranding: Destroying, Transferring or Creating Brand Equity? European Journal of Marketing, 40: 803–24.
- Pierson, J. (1989), Form and Function: Company Symbols Look to the Past, Wall Street Journal, April 26.
- Riordan, C., Gatewood, R. and Bill, J. (1997), Corporate Image: Employee Reactions and Implications for Managing Corporate Social Performance, Journal of Business Ethics, 16: 401–412.
- Schloss, I. (1981), Chickens and Pickles, Journal of Advertising Research, 21: 47–49.
- Schultz, M. and De Chernatony, L. (2002), The Challenges of Corporate Branding, Corporate Reputation Review, 5: 105–112.
- Simon, C. and Sullivan, M. (1993), The Measurement and Determinants of Brand Equity: A Financial Approach, Marketing Science, 12: 28–52.
- Spence, M. (1973), Job Market Signaling, The Quarterly Journal of Economics, 87: 355–374.