Market timing on the Johannesburg Stock Exchange using derivative instruments
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- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
- Cornell, Bradford & French, Kenneth R, 1983. "Taxes and the Pricing of Stock Index Futures," Journal of Finance, American Finance Association, vol. 38(3), pages 675-694, June.
- Firer, C & Sandler, M & Ward, M, 1992. "Market timing: A worthwhile strategy?," Omega, Elsevier, vol. 20(3), pages 313-322, May.
- Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
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Cited by:
- Dumont de Chassart, Marc & Firer, Colin, 2004. "Risks associated with market timing under different market conditions," Omega, Elsevier, vol. 32(3), pages 201-211, June.
- Sven Bouman & Ben Jacobsen, 2002. "The Halloween Indicator, "Sell in May and Go Away": Another Puzzle," American Economic Review, American Economic Association, vol. 92(5), pages 1618-1635, December.
- Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
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Keywords
market timing investments hedging portfolio insurance;Statistics
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