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Dividends and S&P 100 index option valuation

โœ Scribed by Campbell R. Harvey; Robert E. Whaley

Book ID
102845738
Publisher
John Wiley and Sons
Year
1992
Tongue
English
Weight
918 KB
Volume
12
Category
Article
ISSN
0270-7314

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โœฆ Synopsis

We thank Arthur Evans, Jefferson Fleming, Sunil Paremeswan, and Shrikant Ramamurthy for their research assistance. James Fazio at Standard and Poor's Corporation provided valuable help i n constructing our series. The comments of Gary Gastineau and R e d Stulz are gratefully acknowledged. We also appreciate the comments of two anonymous referees. This research is supported by the Futures and Options Research Center at Duke University.

'Beginning with the month of June 1988, Standard and Poor's reports the daily cash dividends of the S&P 100 index. However, prior to June 1988, no published series is available. The S&P 100 cash dividend series created here for the pre-June 1988 period is available on diskette from the authors.

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