Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 15, 2007 erstellt
Beschreibung:
This paper compares the changes in implied volatilities of options on Nasdaq 100 and Russell 2000 value and growth portfolios. Following Stein (1989) and Heynen, Kemna, and Vorst's (1994), we assume mean reversion, GARCH and EGARCH models for volatility. The empirical evidence using put options indicates a greater degree of overreaction or mis-reaction in options on growth indices as proxied by Nasdaq 100 and Russell 2000 growth compared to options on Russell 2000 value. However, the results are mixed for the relatively illiquid calls. The results have implications for the value stock effect; specifically, they are largely supportive of the overreaction hypothesis as one potential explanation for the value stock effect