Stock Price Distributions and News: Evidence from Index Options
نویسندگان
چکیده
منابع مشابه
How Useful are Implied Distributions? Evidence from Stock-Index Options
SPRING 2000 THE JOURNAL OF DERIVATIVES 1 Option prices can reveal implied (risk-neutral) distributions, but it is not clear whether these are useful for forecasting or hedging or for revealing the current sentiment of investors. The authors estimate the implied distribution for stock index options in London as a mixture of two lognormals over the period 1987-1997 and find that this method is mu...
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Option prices can be used to construct implied (risk-neutral) distributions, but it remains to be proven whether these are useful either in relation to forecasting subsequent market movements or in revealing investor sentiment. We estimate the implied distribution as a mixture of two lognormals and then test its one-day-ahead forecasting performance, using 1987-97 data on LIFFE’s FTSE-100 index...
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ژورنال
عنوان ژورنال: Review of Quantitative Finance and Accounting
سال: 2004
ISSN: 0924-865X
DOI: 10.1023/b:requ.0000042343.64831.32