Is There Price Discovery in Equity Options
By Dmitriy Muravyev, Neil Pearson, J. Broussard. 2013
179 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/d4d2264086f9fd5f865f077bcc28bafde5a4cb05
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In Economics and Econometrics
In Finance
Citations in the corpus
- Order Flow and Expected Option Returns (2015, unknown): “This is one of the biggest puzzles in the options literature; the existing theories of option spread fail to explain its magnitude and shape (Muravyev and Pearson, 2014).”
- Are Credit Default Swaps a Sideshow? Evidence That Information Flows from Equity to CDS Markets (2015, unknown): “In more recent work regarding option markets, Muravyev, Pearson, and Broussard (2013) indicate that option prices do not contain any additional information about future stock prices once the current stock price is taken into account.”
- Does Option Trading Convey Stock Price Information (2014, background): “In a recent study, Muravyev, Pearson, and Broussard (2013) find that option quotes, but not stock quotes, adjust themselves to eliminate arbitrage opportunities across the two markets, and they conclude that the options market does not play a role in price discovery.”