Index Option Prices and Stock Market Momentum
We test the prediction of standard option pricing models that there should be no relation between option prices and past stock market movements. Using the Standard and Poor's 100 index options (OEX options) prices from 19831995, we document that OEX calls are significantly overvalued relative to OEX puts after large stock price increases. The reverse is true after large stock price decreases. These valuation effects are both economically and statistically significant. Our results suggest that past stock returns exert an important influence on index option prices.
Year of publication: |
2004
|
---|---|
Authors: | Amin, Kaushik ; Coval, Joshua D. ; Seyhun, H. Nejat |
Published in: |
The Journal of Business. - University of Chicago Press. - Vol. 77.2004, 4, p. 835-874
|
Publisher: |
University of Chicago Press |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Index option prices and stock market momentum
Amin, Kaushik I., (2004)
-
Index Option Prices and Stock Market Momentum
Amin, Kaushik, (2004)
-
The theory and practice of international financial management
Click, Reid W., (2002)
- More ...