Covered call trading strategies in the South African retail equity market

Simple item page
dc.contributor.authorHumphreys, Mark
dc.date.accessioned2015-02-24T12:07:22Z
dc.date.available2015-02-24T12:07:22Z
dc.date.issued2015-02-24
dc.descriptionThesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Graduate School of Business Administration, 2014.en_ZA
dc.description.abstractThe use of a Covered Call strategy has long been favoured by investors the world over for its potential to enhance yield in a long-only equity portfolio. There already exists a wealth of research examining the risk and return features and theories of this strategy. This paper aims to contribute to this debate by conducting research that is specific to the South African equity market and considered from the perspective of a retail investor, particularly by tracking the negative friction induced by transaction costs. It also seeks to answer the question of which Covered Call strategies provide the best risk-adjusted returns by pricing various expiry range and moneyness combinations over differing market trend phases during a 13-year period of trade on the JSE.en_ZA
dc.identifier.urihttp://hdl.handle.net/10539/17047
dc.language.isoenen_ZA
dc.subjectCovered callen_ZA
dc.subjectOption strategyen_ZA
dc.subjectSortino ratioen_ZA
dc.subjectMoneynessen_ZA
dc.subjectJSEen_ZA
dc.subjectRetail share investingen_ZA
dc.subjectRetail equity investingen_ZA
dc.subjectEquity call optionen_ZA
dc.subjectRisk-adjusted returnen_ZA
dc.titleCovered call trading strategies in the South African retail equity marketen_ZA
dc.typeThesisen_ZA
Files
Original bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
MMFI Thesis - M Humphreys - 679847.pdf
Size:
5.04 MB
Format:
Adobe Portable Document Format
Download
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.71 KB
Format:
Item-specific license agreed upon to submission
Description:
Download
Collections
ETD Collection