Pricing market index target-term securities (MITTS) on eight European stock indices.

摘要

This study tested actual market prices of Market Index Target-Term Securities (MITTS) on Eight European Stock Indices with those prices implied by modern pricing formulas. Statistical comparisons were conducted between actual market prices and the intrinsic values of the MITTS during the sample period spanning from July 29, 1997 to May 31, 1998. The study found that the pricing errors between the market and the pricing model for the MITTS differ from zero at the 1 percent level of significance. Hence, the null hypothesis was rejected, and it can be stated with confidence that either the pricing model is specified incorrectly, or the market for MITTS is inefficient, or both.