3433-vol. 6 issue 2-3.pmd - iarfc

Volume 6, Issue 2 & 3 121
Hypothesis Testing:
(1) Average Returns Wilcoxon signed rank test = 4.62 (p-value = 0.00)
are equal. van der Waerden test = -4.34 (p-value = 0.00)
(2) Standard Deviations Wilcoxon signed rank test = 4.62 (p-value = 0.00)
are equal. van der Waerden test = 4.34 (p-value = 0.00)
(3) Sharpe Ratios Wilcoxon signed rank test = 4.62 (p-value = 0.00)
are equal. van der Waerden test = -4.34 (p-value = 0.00)
Table 4 reports the results for the less bullish sub-period: January
1990 through December 1992 and January 2000 through December 2003. The
results are almost identical to those in Table 3. The call spread strategy
performed worse than the outright stock investment for every single stock: in
each case, the call spread yielded a lower average return, a higher standard
deviation, and therefore a lower Sharpe ratio. All of the test statistics are
significant at the conventional level. Once again the message is: the bull call
spread did not bring any benefit to investors, and, instead, had a devastating
impact on them.
Research & Theory