Overreactions in the options market

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Previous article in issue: Estimating the Strategic Value of Long-Term Forward Purchase Contracts Using Auction Models. Next article in issue: Capital Flow Controls, International Asset Pricing, and Investors' Welfare: I am grateful to Mark Zurack of Goldman Sachs and Co. Because implied volatility is strongly mean reverting, the implied volatility on a longer maturity option should move by less than one percent in response to a one percent move in the implied volatility of a shorter maturity option.

Overreactions in the Options Market - STEIN - - The Journal of Finance - Wiley Online Library

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Overreactions in the options markets in Japan: Applied Financial Economics Letters: Vol 2, No 2

Go to old article view Advertisement. Estimating the Strategic Value of Long-Term Forward Purchase Contracts Using Auction Models Previous article in issue: Estimating the Strategic Value of Long-Term Forward Purchase Contracts Using Auction Models Next article in issue: A Multi-Country Framework Next article in issue: Article Overreactions in the Options Market Authors JEREMY STEIN Search for more papers by this author Harvard Business School.

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