Underreaction, Overreaction, And Increasing Misreaction to Information in The Options Market  

Oleh:

Poteshman, Allen M.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 3 (2001), page 851-876.
Topik: reactions; studies; options markets; investment policy; mathematical models; changes
Fulltext: p 851.pdf (145.02KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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This paper investigates options market reaction to changes in the instantaneous variance of the underlying asset. There are 3 main findings : 1. Options market investors underreact to individual daily changes in instantaneous variance 2. These same investors overreact to periods of mostly increasing or mostly decreasing daily changes in instantaneous variance 3. They tend to underreact to current daily changes in instantaneous variance that are preceded mostly by daily changes of the opposite sign. The third finding can reconcile the first 2 and is also consistent with well - established cognitive biases.

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