search query: @author Ancel, E. W. / total: 2
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| Author: | Ancel, E. W. Rao, R.K.S. |
| Title: | Stock returns and option prices: an exploratory study |
| Journal: | Journal of Financial Research
1990 : FALL, VOL. 13:3, p.173-185 |
| Index terms: | MODELS FINANCIAL MODELS |
| Language: | eng |
| Abstract: | The paper investigates the estimates of expected stock returns implicit in option data. The Lee-Rao-Auchmuty option valuation model gives a unique opportunity to study if return measurnments derived by nonlinear techniques show any correlation with future stock returns. For short period the LA-estimates seem to be better than estimates obtained from historical data. |
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