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Stock index futures contracts and separability of returns

✍ Scribed by Anthony F. Herbst; Nicholas O. Ordway

Publisher
John Wiley and Sons
Year
1984
Tongue
English
Weight
939 KB
Volume
4
Category
Article
ISSN
0270-7314

No coin nor oath required. For personal study only.

✦ Synopsis

I n principle, investors could use stock option contracts (i.e., call options) to obtain pre-tax capital gains while simultaneously keeping the balance of their assets in no-risk or low-risk interest bearing securities. However, it would be difficult to achieve capital gains returns equivalent to those on the "market" portfolio. Compared to the companies whose shares are traded on the major exchanges, relatively few have publicly traded call options.

'Index and Option Market (1982), Kansas City Board of Trade (1982), New York Futures Exchange (1982). and

Commodities (1982) describe these contracts.

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