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Trade Imbalances and Inventory Effects in Long-term S&P 500 Index Options

Bharadwaj, Anu; Wiggins, James B. - In: The Financial Review 38 (2003) 2, pp. 293-309

This article investigates how trade imbalances affect prices in the S&P 500 Long-term Equity Anticipation Securities (LEAPS) market. From 1994 to 1996, put volume was 30 times higher than call volume, and public purchases of puts vastly outnumbered sales. We find that LEAPS put quotes are...

Persistent link: https://www.econbiz.de/10005226827

Trade imbalances and inventory effects in long-term S&P 500 index options

Bharadwaj, Anu; Wiggins, James B. - In: The financial review : the official publication of the … 38 (2003) 2, pp. 293-309

Persistent link: https://www.econbiz.de/10001794884

Trade Imbalances and Inventory Effects in Long-term S&P 500 Index Options

Bharadwaj, Anu; Wiggins, James B. - In: The financial review : the official publication of the … 38 (2003) 2, pp. 293-310

Persistent link: https://www.econbiz.de/10005935591

Beta changes around stock splits revisited

Wiggins, James B. - In: Journal of financial and quantitative analysis : JFQA 27 (1992) 4, pp. 631-640

Persistent link: https://www.econbiz.de/10001137809

Estimating the volatility of S&P 500 futures prices using the extreme-value method

Wiggins, James B. - In: The journal of futures markets 12 (1992) 3, pp. 265-273

Persistent link: https://www.econbiz.de/10001125677

The relation between risk and optimal debt maturity and the value of leverage

Wiggins, James B. - In: Journal of financial and quantitative analysis : JFQA 25 (1990) 3, pp. 377-386

Persistent link: https://www.econbiz.de/10001096418

Option values under stochastic volatility : theory and empirical estimates

Wiggins, James B. - In: Journal of financial economics 2 (1987), pp. 351-372

Persistent link: https://www.econbiz.de/10001036355

Empirical tests of the bias and efficiency of the extreme-value variance estimator for common stocks

Wiggins, James B. - In: The journal of business : B 64 (1991) 3, pp. 417-432

Persistent link: https://www.econbiz.de/10001109688

Valuation effects of bank financing in acquisitions

Bharadwaj, Anu; Shivdasani, Anil - In: Journal of Financial Economics 67 (2003) 1, pp. 113-148

Persistent link: https://www.econbiz.de/10005362808

Valuation effects of bank financing in acquisitions

Bharadwaj, Anu; Shivdasani, Anil - In: Journal of financial economics 67 (2003) 1, pp. 113-148

Persistent link: https://www.econbiz.de/10001728949