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A note on put‐call parity and the market efficiency of the London traded options market
Author(s) -
Goh Leng Y.,
Allen David
Publication year - 1984
Publication title -
managerial and decision economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.288
H-Index - 51
eISSN - 1099-1468
pISSN - 0143-6570
DOI - 10.1002/mde.4090050206
Subject(s) - market efficiency , dividend , parity (physics) , economics , financial economics , dividend yield , yield (engineering) , efficient market hypothesis , econometrics , payment , dividend policy , finance , stock market , paleontology , physics , materials science , particle physics , horse , biology , metallurgy
Put‐call parity and the efficiency of the London traded options market are tested via the construction of long and short hedges which incorporate the effects of ‘known’ dividend payments. Examination of the resulting returns and their subsequent analysis via regression models yield findings which support the put‐call parity theorem and market efficiency.