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Anticipated information releases reflected in call option prices

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Author Info
Patell, James M.
Wolfson, Mark A.
Abstract

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File URL: http://www.sciencedirect.com/science/article/B6V87-45KNK83-3/2/bf19154c79c5f9f99a6cd6a449876fea
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Publisher Info
Article provided by Elsevier in its journal Journal of Accounting and Economics.

Volume (Year): 1 (1979)
Issue (Month): 2 (August)
Pages: 117-140
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Handle: RePEc:eee:jaecon:v:1:y:1979:i:2:p:117-140

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  1. Richard K. Lyons, 1986. "Tests of the foreign exchange risk premium using the expected second moments implied by option pricing," International Finance Discussion Papers 290, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    Other versions:
  2. Claudio Loderer & Marc-André Mittermayer, 2006. "America and the Swiss Stock Exchange: An Intraday Analysis," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 142(I), pages 79-114, March. [Downloadable!]
  3. Balasingham Balachandran, 2003. "UK interim and final dividend reductions: a note on price reaction," European Journal of Finance, Taylor and Francis Journals, vol. 9(4), pages 379-390, August. [Downloadable!] (restricted)
  4. Andreas Zingg & Sebastian Lang & Daniela Wyttenbach, 2007. "Insider Trading in the Swiss Stock Market," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 143(III), pages 331-362, September. [Downloadable!]
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This page was last updated on 2009-12-3.

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