IDEAS home Printed from https://ideas.repec.org/a/aft/journl/v2022023juldecp167-190.html
   My bibliography  Save this article

Does A Hedge Strategy With Out-Of-The-Money Options On Shares Of State-Owned Companies Bring Great Returns? An Analysis In The Period Form 2018 To 2021

Author

Listed:
  • Lucas Oliveira Florindo

    (Universidade Federal de Santa Catarina)

  • Helberte João França Almeida

    (Universidade Federal de Santa Catarina)

  • Rafael Jasper Feltrin

    (Universidade Federal de Santa Catarina)

Abstract

This study aimed to measure the results of an investment strategy whose main objective is the preservation of capital in times of crisis. For this, two portfolios were created composed of shares of state-owned companies, one of which would have in addition to the shares, a hedge strategy made with options to sell out of money, the portfolios were analyzed and compared through their total return in the period and by the risk-return perspective, using the Sharpe and Treynor ratios. The results obtained showed us that a portfolio composed of state shares and with a continuous hedge protection using selling options was more profitable and presented a better risk-return than an unprotected portfolio in the period analyzed.

Suggested Citation

  • Lucas Oliveira Florindo & Helberte João França Almeida & Rafael Jasper Feltrin, 2023. "Does A Hedge Strategy With Out-Of-The-Money Options On Shares Of State-Owned Companies Bring Great Returns? An Analysis In The Period Form 2018 To 2021," Revista de Economia Mackenzie (REM), Mackenzie Presbyterian University, Social and Applied Sciences Center, vol. 20(2), pages 167-190, july-dece.
    • Handle: RePEc:aft:journl:v:20:2:2023:jul:dec:p:167-190
    DOI: 10.5935/1808-2785/rem.v20n2p.167-190
    as

    Download full text from publisher

    File URL: https://editorarevistas.mackenzie.br/index.php/rem/article/view/16196/12084
    Download Restriction: no
    File URL: https://libkey.io/10.5935/1808-2785/rem.v20n2p.167-190?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Keywords

    Hedge; risk-return; options; state-owned companies.;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G2 - Financial Economics - - Financial Institutions and Services

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:aft:journl:v:20:2:2023:jul:dec:p:167-190. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Instituto Presbiteriano Mackenzie (IPM) (email available below). General contact details of provider: https://edirc.repec.org/data/fcmacbr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.