haku: @author Rao, R.K.S. / yhteensä: 1
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| Tekijä: | Ancel, E. W. Rao, R.K.S. |
| Otsikko: | Stock returns and option prices: an exploratory study |
| Lehti: | Journal of Financial Research
1990 : FALL, VOL. 13:3, p.173-185 |
| Asiasana: | MODELS FINANCIAL MODELS |
| Kieli: | eng |
| Tiivistelmä: | 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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