Learning and index option returns
Artículo

Open/ Download
Access note
Acceso Abierto
Publication date
2020
Abstract
Little is known about the economic sources that may generate the abnormal returns observed in put index options. We show that the learning process followed by investors may be one such source. We develop an equilibrium model under partial information in which a rational Bayesian learner prices put option contracts. Our model generates put option returns similar to the empirical returns of S&P 500 put index options. This result is not obtained when we analyze alternative setups of the model in which no learning process exists.
Indexation
Artículo de publicación ISI Artículo de publicación SCOPUS
Quote Item
Journal of Business & Economic Statistics, 38:2, 327-339 April 2020
Collections
The following license files are associated with this item: