Is Covered Call Investing Wise? Evaluating the Strategy using Risk-Adjusted Performance Measures

Karyl B. Leggio and Donald Lien
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Karyl B. Leggio: Bloch School of Business and Public Administration, University of Missouri at Kansas City, Kansas City, Missouri 64110, USA
Donald Lien: College of Business, University of Texas at San Antonio, San Antonio, Texas 78249-0631, USA

Chapter 11 in Advances in Quantitative Analysis of Finance and Accounting:New Series, 2004, pp 187-204 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractTo evaluate portfolio performance, one needs to consider the risk associated with generating returns. Traditional performance metrics evaluate returns relative to the standard deviation of returns. These moments do not adequately take into account measures of interest to investors. Using improved risk-adjusted performance measures, we find the covered call portfolio is not an adequate investment strategy. Rather, investors are better off by holding the market index.

Keywords: Discretionary Accruals; Futures Price Volatility; Bid-Ask Spread Components; CEO Compensation; Executive Cash Compensation; Convertible Debts; Environmental Liabilities (search for similar items in EconPapers)
Date: 2004
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