Behavioral Aspects of Covered Call Writing: An Empirical Investigation

REFERENCES

• Baldwin , W. 2002 . These Puts Have No Clothes . Forbes , April Available at: http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=6508038&site=ehost-live&scope=site
   Web of Science ®Google Scholar
• Bauer , R. , Cosemans , M. and Eichholtz , P. M. A. 2009 . Option Trading and Individual Investor Performance . Journal of Banking and Finance , 33 : 731 – 746 .
   Web of Science ®Google Scholar
• Binnewies , R. 1992 . What's Wrong with Covered Writes . Futures , July Available at: http://www.allbusiness.com/personal-finance/investing-trading-futures/322799-1.html
   Google Scholar
• Black , F. and Scholes , M. 1972 . The Valuation of Option Contracts and a Test of Market Efficiency . Journal of Finance , 27 : 399 – 417 .
   Web of Science ®Google Scholar
• Black , F. 1975 . Fact and Fantasy in the Use of Options . Financial Analysts Journal , 31 : 36 – 41 . pp. 61–72.
   Google Scholar
• Blumberg , B. , Cooper , D. R. and Schindler , P. S. 2005 . Business Research Methods , New York : McGraw-Hill .
   Google Scholar
• Board , J. , Sutcliffe , C. and Patrinos , E. 2000 . The Performance of Covered Calls . The European Journal of Finance , : 1 – 17 .
   Google Scholar
• Bookstaber , R. and Clarke , R. G. 1984 . Option Portfolio Strategies: Measurement and Evaluation . Journal of Business , 57 : 469 – 492 .
   Web of Science ®Google Scholar
• Booth , J. R. , Tehranian , A. and Trennepohl , G. L. 1985 . Efficiency Analysis and Option Portfolio Selection . Journal of Financial and Quantitative Analysis , 20 : 435 – 450 .
   Web of Science ®Google Scholar
• Breuer , W. and Perst , A. 2007 . Retail Banking and Behavioral Financial Engineering: The Case of Structured Products . Journal of Banking & Finance , 31 : 827 – 844 .
   Web of Science ®Google Scholar
• Callan Associates, Inc. 2006 . An Historical Evaluation of the CBOE S&P 500 Buy Write Index Strategy October Available at: http://www.cboe.com/micro/bxm/Callan_CBOE.pdf
   Google Scholar
• Clary , I. 2007 . Wall Street Spreading the Word on Option . Pensions and Investments , 35 : 41 – 42 .
   Google Scholar
• Constantinides , G. M. , Jackwerth , J. C. , Czerwonko , M. and Perrakis , S. 2008 . Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence . Current draft. , March Available at: http://cofe.uni-konstanz.de/Papers/dp08_08.pdf
   Google Scholar
• Cooper , M. J. , Dimitrov , O. and Rau , R. P. 2001 . A Rose.com by Any Other Name . The Journal of Finance , 56 : 2371 – 2388 .
   Web of Science ®Google Scholar
• Cooper , M. J. , Khorana , A. , Osobov , I. , Patel , A. and Rau , R. P. 2005 . Managerial Actions in Response to a Market Downturn: Valuation Effects of Name Changes in the dot.com Decline . Journal of Corporate Finance , 11 : 319 – 335 .
   Web of Science ®Google Scholar
• Crawford , G. 2005 . Buy Writing Makes Comeback as Way to Hedge Risk . Pensions & Investments , 33 : 3 – 29 .
   Google Scholar
• Deutskens , E. , De Ruyter , K. , Wetzels , M. and Oosterveld , P. 2004 . Response Rate and Response Quality of Internet-Based Surveys: An Experimental Study . Marketing Letters , 15 : 21 – 36 .
   Web of Science ®Google Scholar
• Dorn , D. and Huberman , G. 2005 . Talk and Action: What Individual Investors Say and What They Do . Review of Finance , 9 : 437 – 481 .
   Google Scholar
• DNB . 2006 . DNB Statistical Bulletin June 2006 Available at: http://www.dnb.nl/en/binaries/Statistical%20Bulletin%20June06_tcm47-147384.pdf
   Google Scholar
• Fama , E. F. 1970 . Efficient Capital Markets: A Review of Theory and Empirical Work . The Journal of Finance , 25 : 383 – 417 .
   Web of Science ®Google Scholar
• Feldman , B. and Roy , D. 2004 . Passive Options-based Investment Strategies: The Case of the CBOE S&P 500 Buy Write Index , Chicago : Ibbotson Associates . Available at: http://corporate.morningstar.com/ib/documents/MethodologyDocuments/IBBAssociates/CBOE_SPBuyWrite.pdf
   Google Scholar
• Figlewski , S. , Silber , W. L. and Subrahmanyam , M. G. 1990 . Financial Options: From Theory to Practice , Business One Irwin .
   Google Scholar
• Groot , J. S. de and Dijkstra , T. K. 1996 . Writing Covered Calls: Should it be Done?” Groningen, SOM Research School . SOM Research Reports Series , Available at: http://som.eldoc.ub.rug.nl/reports/1995-1999/themeE/1996/96E26/
   Google Scholar
• Kahneman , D. and Tversky , A. 1972 . Subjective Probability: A Judgment of Representativeness . Cognitive Psychology , 3 : 430 – 454 .
   Web of Science ®Google Scholar
• Kahneman , D. and Tversky , A. 1979 . Prospect Theory: An Analysis of Decision Under Risk . Econometrica , 47 : 263 – 291 .
   Web of Science ®Google Scholar
• Kumar , A. and Lim , S. S. 2008 . How Do Decision Frames Influence the Stock Investment Choices of Individual Investors? . Management Science , 54 : 1052 – 1064 .
   Web of Science ®Google Scholar
• Lakonishok , J. , Lee , I. , Pearson , N. D. and Poteshman , A. M. 2007 . Option Market Activity . The Review of Financial Studies , 20 : 813 – 857 .
   Web of Science ®Google Scholar
• Leggio , K. B. and Lien , D. 2000 . Is Covered Call Investing Wise? Evaluating the Strategy Using Risk-Adjusted Performance Measures . Working Paper , Available at: http://207.36.165.114/Denver/Papers/IsCoveredCall.pdf
   Google Scholar
• Leggio , K. B. and Lien , D. 2002 . Covered Call Investing in a Loss Aversion Framework . The Journal of Psychology and Financial Markets , 3 : 182 – 191 .
   Google Scholar
• Lopes , L. 1987 . Between Hope and Fear: The Psychology of Risk . Advances in Experimental Social Psychology , 20 : 255 – 295 .
   Web of Science ®Google Scholar
• Louis Harris and Associates, Inc. 1976 . A Survey of Investors in the Listed Options Market
   Google Scholar
• Markowitz , H. 1952 . Portfolio Selection . The Journal of Finance , 7 : 77 – 91 .
   Web of Science ®Google Scholar
• McIntyre , M. L. and Jackson , D. 2007 . Great in Practice, Not in Theory: An Empirical Examination of Covered Call Writing . Journal of Derivatives and Hedge Funds , 13 : 66 – 79 .
   Google Scholar
• McNeil , B. J. , Pauker , S. G. , Sox , H. C. and Tversky , A. 1982 . On the Elicitation of Preferences for Alternative Therapies . New England Journal of Medicine , 306 : 1259 – 1262 .
   PubMed Web of Science ®Google Scholar
• Merton , R. C. , Scholes , M. S. and Gladstein , M. L. 1978 . The Returns and Risk of Alternative Call Option Portfolio Investment Strategies . Journal of Business , 51 : 183 – 242 .
   Web of Science ®Google Scholar
• Morard , B. and Naciri , A. 1990 . Options and Investment Strategies . Journal of Futures Markets , 10 : 505 – 517 .
   Web of Science ®Google Scholar
• Radoll , R. W. 2001 . Hedging Covered Calls: A Way to Profit While Minimizing Risk . Futures , 30 : 54 – 57 .
   Google Scholar
• Reilly , F. K. and Brown , K. C. 1997 . “ An Introduction to Derivative Markets and Securities ” . In Investment Analysis and Portfolio Management , 5th ed. , 354 – 362 . Fort Worth, TX : The Dryden Press .
   Google Scholar
• Scott , L. M. and Vargas , P. 2007 . Writing with Pictures: Toward a Unifying Theory of Consumer Response to Images . Journal of Consumer Research , 34 : 341 – 356 .
   Web of Science ®Google Scholar
• Sharpe , W. 1994 . The Sharpe Ratio . Journal of Portfolio Management , 21 : 49 – 58 .
   Web of Science ®Google Scholar
• Shefrin , H. and Statman , M. 1984 . Explaining Investor Preference for Cash Dividends . Journal of Financial Economics , 13 : 253 – 282 .
   Web of Science ®Google Scholar
• Shefrin , H. and Statman , M. 1985 . The Disposition to Sell Winners Too Early and Ride Losers Too Long . The Journal of Finance , 40 : 777 – 790 .
   Web of Science ®Google Scholar
• Shefrin , H. and Statman , M. 1993 . Behavioral Aspects of the Design and Marketing of Financial Products . Financial Management , 22 : 123 – 134 .
   Web of Science ®Google Scholar
• Shefrin , H. and Statman , M. 2000 . Behavioral Portfolio Theory . Journal of Financial and Quantitative Analysis , 35 : 127 – 151 .
   Web of Science ®Google Scholar
• Shefrin , H. 2002 . Beyond Greed and Fear: Understanding Behavioral Finance and the Psychology of Investing , New York : Oxford University Press .
   Google Scholar
• Shirvani , H. and Wilbratte , B. 2003 . A Pedagogical Note on the Derivation of Option Profit Lines . Journal of Economics and Finance Education , 2 : 16 – 22 .
   Google Scholar
• Sortino , F. A. and Forsey , H. J. 1996 . On the Use and Misuse of Downside Risk . Journal of Portfolio Management , 22 : 35 – 42 .
   Web of Science ®Google Scholar
• Sortino , F. A. , van der Meer , R. and Plantinga , A. 1999 . The Dutch Triangle: A Framework to Measure Upside Potential Relative to Downside Risk . Journal of Portfolio Management , 26 : 50 – 58 .
   Web of Science ®Google Scholar
• Statman , M. 2002 . Lottery Players/ Stock Traders . Financial Analysts Journal , 58 : 14 – 21 .
   Web of Science ®Google Scholar
• Statman , M. , Fisher , K. L. and Anginer , D. 2008 . Affect in a Behavioral Asset-Pricing Model . Financial Analyst Journal , 64 : 20 – 29 .
   Web of Science ®Google Scholar
• Ter Horst , J. and Veld , C. 2008 . An Empirical Analysis of the Pricing of Bank Issued Options versus Options Exchange Options . European Financial Management , 14 : 288 – 314 .
   Web of Science ®Google Scholar
• Tergesen , A. 2001 . Taking Cover With Covered Calls . Business Week , 3733 : 132 – 134 .
   Google Scholar
• Thaler , R. and Shefrin , H. 1981 . An Economic Theory of Self-Control . Journal of Political Economy , 89 : 392 – 410 .
   Web of Science ®Google Scholar
• Thaler , R. 1985 . Mental Accounting and Consumer Choice . Marketing Science , 4 : 199 – 214 .
   Web of Science ®Google Scholar
• Toland , A. and O’Neill , P. 1983 . A Test of Prospect Theory . Journal of Economic Behavior and Organization , 4 : 53 – 56 .
   Web of Science ®Google Scholar
• Tracy , T. 2008a . Earnings Time May Be Ideal for ‘Covered Cal’ Strategy . The Wall Street Journal , 251 : 6 – 7 .
   Google Scholar
• Tracy , T. 2008b . Covered Calls Are One Option . The Wall Street Journal , 251 : 6
   Google Scholar
• Tversky , A. and Kahneman , D. 1991 . Loss Aversion in Riskless Choice: A Reference-Dependent Model . The Quarterly Journal of Economics , 106 : 1039 – 1061 .
   Web of Science ®Google Scholar
• Tversky , A. and Kahneman , D. 1992 . Advances in Prospect Theory: Cumulative Representation of Uncertainty . Journal of Risk and Uncertainty , 5 : 297 – 323 .
   Web of Science ®Google Scholar
• von Neumann , J. and Morgenstern , O. 1947 . Theory of Games and Economic Behavior , Princeton, NJ : Princeton University Press .
   Google Scholar
• VEB . 2002 . Is Beleggen Uit en Sparen in? . Effect , 5 (in Dutch)
   Google Scholar
• Weber , J. 2007 . Shelter from the Storm . Business Week , 4065 : 80
   Google Scholar
• Whaley , R. E. 2002 . Return and Risk of CBOE Buy Write Monthly Index . Journal of Derivatives , 10 : 35 – 42 .
   Google Scholar