𝔖 Bobbio Scriptorium
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Momentum profits and time-varying unsystematic risk

✍ Scribed by Xiafei Li; Joëlle Miffre; Chris Brooks; Niall O’Sullivan

Book ID
116614994
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
216 KB
Volume
32
Category
Article
ISSN
0378-4266

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We would like to compare futures with options, unfortunately we do not have an option contract that matches the time period of our study. SIMEX has an option on the Nikkei 225 with a much shorter history. Moreover, even if such a contract exists, it would be very thin (as we have experienced in comp