Do the options markets really overreact?

✍ Scribed by Fernando Diz; Thomas J. Finucane

• Book ID: 102842794
• Publisher: John Wiley and Sons
• Year: 1993
• Tongue: English
• Weight: 868 KB
• Volume: 13
• Category: Article
• ISSN: 0270-7314
• DOI: 10.1002/fut.3990130306

✦ Synopsis

Helpful comments from two anonymous referees and the participants of the 1990 Financial Management Association meetings and the finance workshop at Syracuse University are gratefully acknowledged.

'The reader is referred to Stein (1989) for details of the derivation. Equation ( 1) is simply Stein's eq. ( 4) with time measured in days.