Using options to measure the full value-effect of an event: Application to Obamacare

• 成果类型: Article
• 署名作者: Borochin, Paul; Golec, Joseph
• 署名单位: University of Connecticut
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2016.01.009
• 发表日期: 2016
• 页码: 169-193
• 关键词: Event study; options; valuation; Healthcare reform

摘要

Many event studies only measure a fraction of an event's full value effect because they do not adjust for market anticipation of the event. We present a method based on stock and options prices to measure the full effect that accounts for market anticipation. We apply the method to the passage of Obamacare. Our method estimates the full value effect of Obamacare on the healthcare sector as $55 billion, compared to $16 billion when market anticipation is ignored. The method is applicable to most major events because it only requires that some affected firms have traded stock options. (C) 2016 Elsevier B.V. All rights reserved.