Option Prices as Predictors of Equilibrium Stock Prices

Option Prices as Predictors of Equilibrium Stock Prices ABSTRACT The Black‐Scholes option pricing model, modified for dividend payments, is used to calculate jointly implied stock prices and implied standard deviations. A comparison of the implied stock prices with observed stock prices reveals that the implied prices contain information regarding equilibrium stock prices that is not fully reflected in observed stock prices. The implications of this finding are discussed. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Finance Wiley

Option Prices as Predictors of Equilibrium Stock Prices

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Publisher
Wiley
Copyright
1982 The American Finance Association
ISSN
0022-1082
eISSN
1540-6261
D.O.I.
10.1111/j.1540-6261.1982.tb03597.x
Publisher site
See Article on Publisher Site

Abstract

ABSTRACT The Black‐Scholes option pricing model, modified for dividend payments, is used to calculate jointly implied stock prices and implied standard deviations. A comparison of the implied stock prices with observed stock prices reveals that the implied prices contain information regarding equilibrium stock prices that is not fully reflected in observed stock prices. The implications of this finding are discussed.

Journal

The Journal of FinanceWiley

Published: Sep 1, 1982

References

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