Disagreement in Market Index Options
We generate new evidence on disagreement among traders in the S&P 500 options market from high-frequency intraday price and volume data. Inference on disagreement is based on a model where investors observe public information but agree to disagree on its interpretation; disagreement among invest...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2023
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2701 https://ink.library.smu.edu.sg/context/soe_research/article/3700/viewcontent/DisagreementMarketIndexOptions_av.pdf |
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| Institution: | Singapore Management University |
| Language: | English |