Resumen de An empirical test of "put call parity"

Nissim Ben David, Tavor Tchahi

• In this article, we examined the validity of �Put Call Parity� (PCP) in the Israeli stock market. Estimating the parameters for the PCP equation, we reject the validity of PCP with a 100% confidence level. The estimated PCP equation includes a significant intercept that points to the possibility of having arbitrage opportunities.Measuring the profit rate for portfolios that include options with various exercise prices, we find a potential profit of about 3%�3.4% in all cases.