When Did The Smart Money in Enron Lose Its' Smirk?
AbstractThe Enron Corporation went from a $65 billion dollar market capitalization to bankruptcy in just 16 months. Using statistical techniques for extracting the implied probability distributions built into option prices, I examine the market's expectation of Enron's risk of collapse. I find that the "smart money" remained far too optimistic about the stock until just weeks before their bankruptcy filing.
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Bibliographic InfoPaper provided by Rutgers University, Department of Economics in its series Departmental Working Papers with number 200224.
Date of creation: 25 Sep 2002
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Publication status: Published in Review of Quantitative Finance and Accounting 27, 2006, 365-82
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Enron; implied probability distributions; options;
Find related papers by JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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