haku: @indexterm RATE OF RETURN / yhteensä: 621
viite: 134 / 621
| Tekijä: | McGuire, D. C. Kudla, R. J. |
| Otsikko: | Option prices as an indicator of stock return expectation |
| Lehti: | Journal of Business Finance and Accounting
1991 : APR, VOL. 18:3, p. 421-429 |
| Asiasana: | STOCK OPTIONS PRICES RATE OF RETURN SHARE PRICES INFORMATION STOCK MARKETS EQUITY PORTFOLIOS |
| Kieli: | eng |
| Tiivistelmä: | It applies and extends the time frame of results reported in previous research - that option prices reflect information not yet reflected in the stock price alone. It is proposed that forming a portfolio of securities which have seemingly overvalued call options should outperform a portfolio composed of securities which have seemingly undervalued call options. It is suggested that information on over/undervaluation of the stock's options is a useful indicator of future stock performance. The results have implications for investors in that they should not overlook the information value of stock option prices regardless of whether they participate in the option market. |
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