momentum profits by longing winner stocks with higher growth (and shorting loser stocks with larger drop) in call options implied volatility. Our empirical strategy generates a risk-adjusted alpha of 1.8% per month for a hedged winner-minus-loser portfolio over the 1996–2011 period, during which the simple momentum strategy fails to perform. The results are stronger and clearer if we use call options compared with put options, which are consistent with managers’ tendency to reveal good news and hide
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CHAPTER 1 Introduction Practice Questions Problem 1.8. Suppose you own 5,000 shares that are worth $25 each. How can put options be used to provide you with insurance against a decline in the value of your holding over the next four months? You should buy 50 put option contracts (each on 100 shares) with a strike price of $25 and an expiration date in four months. If at the end of four months the stock price proves to be less than $25, you can exercise the options and sell the shares
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T-bill matured in 67 days, we must use 68 days since that is the option's time to expiration. 2. (Minimum Value of a Call) This would create an arbitrage opportunity. The call would be purchased and immediately exercised. For example, suppose S0 = 44, X = 40, and the call price is $3. Then an investor would buy the call and immediately exercise it. This would cost $3 for the call and $40 for the stock. Then the stock would be immediately sold for $44, netting a risk-free profit of $1. In other
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5. A recommended option hedging strategy based on your 1 year target price. Assume you own 1000 shares of the stock. Select either a covered call strategy or a protective put strategy. Calculate the outcome assuming the stock attains your 1 year price target. 6. A recommended Bull Call Spread or Bear Call Spread based on your 1 year price target. Calculate the outcome assuming the stock attains your 1 year price target. Use 100 contracts for your
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Merit Enterprise Corp. Sara Lehn, chief financial officer of Merit Enterprise Corp., was reviewing her presentation one last time before her upcoming meeting with the board of directors. Merit�s business had been brisk for the last two years, and the company�s CEO was pushing for a dramatic expansion of Merit�s production capacity. Executing the CEO�s plans would require $4 billion in capital in addition to $2 billion in excess cash that the firm had built up. Sara�s immediate task was to brief the
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How does the character of Mr Birling reflect British society in 1912? The character of Mr. Birling is very important in 'An inspector calls' because he reflects how many upper class people (especially men) treated others in different classes. His character is vital to get across Priestley's socialist ideologies. Mr Birling also reflects the older generation, Capitalism and furthermore mirrors the division in society. Firstly, Mr. Birling exclaims how he is not "a purple-faced old man.", this
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White Fang is a very interesting and suspense novel written by Jack London. I was tempted to rush the book as it was very interesting. I couldn’t stop turning the page. In White Fang, Henry, a young adult, and Bill, Henry’s friend, are out in the wild of the north. They have only six sled dogs and 3 bullets in a gun. They are very desperate because they are being followed by a pack of voracious wolves. One night, they notice that there are seven dogs to feed. Then the next day there are only five
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Telephone Calls - an illustration for effective communication The following are some examples of how the principles of effective communication can be applied when handling telephone calls. (a) Nature of Telephone Calls As a medium commonly used in communication, the telephone requires instant and quick responses. Since the caller and the other party do not see each other, communication can only be effective by using the correct words in the appropriate intonation and style, especially in
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for a company called Vangent. At Vangent we received inbound calls from Medicare beneficiaries about their Medicare insurance and healthcare claims that had been filed for services rendered to them by their physicians. The calls would be from different people of all races, ethnicities, and nationalities so effective in my communication with the beneficiaries was a part of my everyday job duty. Most of the beneficiaries I received calls from were at least age 65 and above and sometimes it was difficult
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