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Gupta, Mohit
- Portfolio Hedging through Options: Covered Call Versus Protective Put
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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 Call
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- The Impact of Stock Name Change on Shareholder Wealth
Abstract Views :877 |
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
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