When Did The Smart Money in Enron Lose Its' Smirk?
The 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.
|Date of creation:||25 Sep 2002|
|Publication status:||Published in Review of Quantitative Finance and Accounting 27, 2006, 365-82|
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