Irrational Exuberance and Option Smiles

Financial Analysts Journal

Volumn 55, Issue 6, 1999, Pages 91-103

  Shefrin, Hersh ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0012624090     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v55.n6.2316     Document Type: Article

References (41)

1. Bakshi, G., C. Cao, and Z. Chen. 1997. "Empirical Performance of Alternative Option-Pricing Models." Journal of finance, vol. 52, no. 5 (December):2003-49.
2. Barberis, N., A. Shleifer, and R. Vishny. 1997. "A Model of Investor Sentiment." Journal of Financial Economics, vol. 49, no. 3 (September):307-344.
3. Bates, D. 1991. "The Crash of '87: Was It Expected? The Evidence from Options Markets." Journal of Finance, vol. 46, no. 3 (July):1009-44.
4. _. 1996. "Testing Option Pricing Models." In Statistical Methods in Finance/Handbook of Statistics. Edited by G.S. Maddala and C.R. Rao, Amsterdam: Elsevier.
5. _. 1997. "Post-'87 Crash Fears in S&P 500 Futures Options." Working paper. Wharton School and National Bureau of Economic Research.
6. Billingsley, R., and D. Chance. 1988. "Put-Call Ratios and Market Timing Effectiveness." Journal of Portfolio Management, vol. 15, no. 1 (Fall):25-28.
7. Breeden, D., and R. Litzenberger. 1978. "Prices of State-Contingent Claims Implicit in Option Prices." Journal of Business, vol. 51, no. 4 (October):621-651.
8. Canina, L., and S. Figlewski. 1993. "The Informational Content of Implied Volatility." Review of Financial Studies, vol. 6, no. 3 (Fall):659-681.
9. Clarke, R., and M. Statman. 1998. "Bullish or Bearish? The Patterns of Investor Forecasts." Financial Analysts Journal, vol. 54, no. 3 (May/June):63-72.
10. De Bondt, W.F.M. 1991. "What Do Economists Know about the Stock Market?" Journal of Portfolio Management, vol. 17, no. 2 (Winter):84-91.
11. _. 1993. "Betting on Trends: Intuitive Forecasts of Financial Risk and Return." International Journal of Forecasting, vol. 9, no. 3 (November):355-371.
12. De Bondt, W.F.M., and R. Thaler. 1985. "Does the Stock Market Overreact?" Journal of Finance, vol. 40, no. 3 (July):793-805.
13. _. 1987. "Further Evidence on Investor Overreaction and Stock Market Seasonally." Journal of Finance, vol. 42, no. 3 (July):557-581.
14. Derman, E., and I. Kani. 1994. "Riding on a Smile." Risk, vol. 7, no. 2:32-37.
15. Derman, E., I. Kani, and M. Chriss. 1996. "Implied Trinomial Trees of the Volatility Smile." Journal of Deriva7tives, vol. 3, no. 4 (Summer):7-22.
16. Dupire, B. 1994. "Pricing with a Smile." Risk, vol. 7, no. 1:18-20.
17. Edwards, W. 1968. "Conservatism in Human Information Processing." Reprinted in Judgment under Uncertainty: Heuristics and Biases. Edited by D. Kahneman, P. Slovic, and A. Tversky. New York: Cambridge University Press.
18. Fama, E. 1997. "Market Efficiency, Long-Term Returns, and Behavioral Finance." Journal of Financial Economics, vol. 49, no. 3 (September):283-306.
19. _. "Market Efficiency, Long-Term Returns, and Behavioral Finance." Journal of Financial Economics, vol. 49, no. 3 (September):283-306.
20. Figlewski, S. 1997. "Forecasting Volatility." Financial Markets, Institutions, and Instruments, vol. 6, no. 1:2-87.
21. Fleming, J. 1994. "The Quality of Market Volatility Forecasts Implied by S&P 100 Index Option Prices." Working paper. Rice University.
22. George, T.J., and F.A. Longstaff. 1993. "Bid-Ask Spreads and Trading Activity in the S&P 100 Index Options Market." Journal of Financial and Quantitative Analysis, vol. 28, no. 3:381-398.
23. Glister, J.E., Jr. 1997. "Is'Risk-Free' Hedging Feasible?" Financial Management, vol. 26, no. 1 (Spring):91-105.
24. Jackwerth, J.C., and M. Rubinstein. 1996. "Recovering Probability Distributions from Contemporaneous Security Prices." Journal of Finance, vol. 51, no. 5 (December):1611-31.
25. Jegadeesh, N., and S. Titman. 1993. "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency." Journal of Finance, vol. 48, no. 1 (March):65-91.
26. Kahneman, D., and A. Tversky. 1979. "Prospect Theory: An Analysis of Decision under Risk." Econometrica, vol. 47, no. 2:263-291.
27. Kahneman, D., P. Slovic, and A. Tversky, eds. 1982. Judgment under Uncertainty: Heuristics and Biases. New York: Cambridge University Press.
28. Longstaff, F. 1995. "Option Pricing and the Martingale Restriction." Review of Financial Studies, vol. 8, no. 4 (Winter):1091-1124.
29. Mayers, Thomas A. 1989, 1994. The Technical Analysis Course. Chicago: Irwin.
30. Odean, T. 1998. "Volume, Volatility, Price, and Profit When All Traders Are Above Average." Journal of Finance, vol. 53, no. 6 (December):1887-1934.
31. Phillips, S., and C. Smith. 1980. "Trading Costs for Listed Options: The Implications for Market Efficiency." Journal of Financial Economics, vol. 8, no. 2 (May):179-201.
32. Rubinstein, M. 1985. "Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 through August 31, 1978." Journal of Finance, vol. 40, no. 2 (June):455-480.
33. _. 1994. "Implied Binomial Trees." Journal of Finance, vol. 49, no. 3 (July):771-818.
34. Shefrin, H. 1999. "On Kernels and Sentiment." Working paper. Santa Clara University.
35. Shefrin, H., and M. Statman. 1994. "Behavioral Capital Asset Pricing Theory." Journal of Financial and Quantitative Analysis, vol. 29, no. 3:323-349.
36. Shiller, R., and J.Y Campbell. 1998. "Valuation Ratios and the Long-Run Stock Market Outlook." Journal of Portfolio Management, vol. 24, no. 2 (Winter):11-26.
37. Solt, M., and M. Statman. 1988. "How Useful Is the Sentiment Index?" Financial Analysts Journal, vol. 44, no. 5 (September/ October):45-55.
38. Statman, M., and S. Thorley. 1999. "Overconfidence, Disposition, and Trading Volume." Working paper. Santa Clara University (June).
39. Stein, J. 1989. "Overreactions in the Options Market." Journal of Finance, vol. 44, no, 4 (September):1011-23.
40. Tversky, A., and D. Kahneman. 1974. "Judgment under Uncertainty: Heuristics and Biases." Science, vol. 185:1124-31.
41. _. 1992. "Advances in Prospect Theory: Cumulative Representation of Uncertainty." Journal of Risk and Uncertainty, vol. 5, no. 4:297-323.