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Hedging dividend capture strategies with stock index futures

✍ Scribed by David A. Dubofsky

Publisher
John Wiley and Sons
Year
1987
Tongue
English
Weight
682 KB
Volume
7
Category
Article
ISSN
0270-7314

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e use random sampling techniques to form portfolios of common stocks so W that the portfolios differ in systematic risk and dividend yield. Using three hedge strategies (naive, beta and minimum-variance), we add short positions of the S&P 500 Stock Index futures contract to each equity portfolio. Ov

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Thomas Schneeweis\* ver the last ten years, several academic studies have identified a statistical-0 ly significant weekly pattern in stock returns.' Similar effects have been found in stock index futures.\* The results of these studies show that the average return of stock indexes and stock index f