INVESTOR EXPECTATIONS OF VOLATILITY INCREASES AROUND LARGE STOCK SPLITS AS IMPLIED IN CALL OPTION PREMIA
作者:
Linda S. Klein,
David R. Peterson,
期刊:
Journal of Financial Research
(WILEY Available online 1988)
卷期:
Volume 11,
issue 1
页码: 71-80
ISSN:0270-2592
年代: 1988
DOI:10.1111/j.1475-6803.1988.tb00067.x
数据来源: WILEY
摘要:
AbstractRecent studies find abnormal common stock price behavior associated with ex‐dates of stock splits. Volatility increases are substantia) and abrupt. This study extends previous analyses to the options market by examining investor perceptions of volatility increases through implied standard deviations of returns. Investors fail to anticipate volatility increases until the ex‐date. Furthermore, abnormal option returns are present. The increased volatility and these results suggest option market inefficie
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