Underreaction, Overreaction, and Increasing Misreaction to Information in the Options Market

By Allen M. Poteshman. 2001

235 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/268a656dba7f793c4733f111d30672c508afd7b5

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Citations in the corpus

Option trading and individual investor performance (2009, unknown): “Poteshman (2001) shows that option market investors exhibit the same pattern of shortterm underreaction and long-term overreaction to information that has been found in stock markets.”
Investor Psychology in Capital Markets: Evidence and Policy Implications (2001, unknown): “Poteshman (2001) provides evidence that prices are influenced by investors overextrapolating sequences of news related to volatility in options markets.”
Cross-Section of Option Returns and Volatility (2009, background): “See Poteshman and Serbin (2003) for a discussion of early exercise behavior.”
Investor Sentiment and Option Prices (2008, unknown): “In particular, Poteshman (2001) finds evidence of options market misreaction to changes in the market volatility that is consistent with the Barberis, Shleifer, and Vishny (1998) model of investor sentiment.”
Modeling the Change of Paradigm: Non-Bayesian Reactions to Unexpected News † (2012, background): “Similar patterns are argued in Chopra, Lakonishok, and Ritter (1992) for stocks, Larson and Madura (2001) for exchange rates, and Poteshman (2001) for options markets.”
Cross-Section of Option Returns and Idiosyncratic Stock Volatility (2013, unknown): “If investors overreact to recent changes in volatility (Stein, 1989; Poteshman, 2001) and pay too much for options on high volatility stocks, then the subsequent returns of deltahedged option positions would be low.”
Mapping the field of behavioural biases: a literature review using bibliometric analysis (2021, background): “Investors of option market tend to overreact to the period information whereas underreact to daily information (Poteshman 2001).”