TY  - BOOK
AU  - Constantinides,George M.
AU  - Czerwonko,Michal
AU  - Perrakis,Stylianos
ED  - National Bureau of Economic Research.
TI  - Mispriced Index Option Portfolios
T2  - NBER working paper series
PY  - 2017///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - August 2017; Hardcopy version available to institutional subscribers
N2  - The optimal portfolio of a utility-maximizing investor trading in the S&P 500 index and cash, subject to proportional transaction costs, becomes stochastically dominated when overlaid with a zero-net-cost portfolio of S&P 500 options bought at their ask and written at their bid price in most months over 1990-2013. Dominance is prevalent when the ATM-IV is high, right skew is low, and option maturity is short. The portfolios include mostly calls and positions are overwhelmingly short. Similar results obtain with options on the CAC and DAX indices. The results are explained neither by priced factors nor a non-monotonic stochastic discount factor
UR  - https://www.nber.org/papers/w23708
UR  - http://dx.doi.org/10.3386/w23708
ER  -