Underreaction, overreaction, and increasing misreaction to information in the options market

• 成果类型: Article
• 署名作者: Poteshman, AM
• 署名单位: University of Illinois System; University of Illinois Urbana-Champaign
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00348
• 发表日期: 2001
• 页码: 851-876
• 关键词: stochastic volatility; asset

摘要

This paper investigates options market reaction to changes in the instantaneous Variance of the underlying asset. There are three main findings. First, options market investors underreact to individual daily changes in instantaneous variance. Second, these same investors overreact to periods of mostly increasing or mostly decreasing daily changes in instantaneous variance. Third, they tend to underreact (overreact) to current daily changes in instantaneous variance that are preceded mostly by daily changes of the opposite (same) sign. The third finding can reconcile the first two and is also consistent with well-established cognitive biases.