Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/79191 
Authors: 
Year of Publication: 
2002
Series/Report no.: 
Working Paper No. 2002-24
Publisher: 
Rutgers University, Department of Economics, New Brunswick, NJ
Abstract: 
The Enron Corporation went from a $65 billion dollar market capitalization to bankruptcy in just 16 months. Using statistical techniques for extracting the implied probability distributions built into option prices, I examine the market's expectation of Enron's risk of collapse. I find that the smart money remained far too optimistic about the stock until just weeks before their bankruptcy filing.
Subjects: 
Enron
implied probability distributions
options
JEL: 
G13
Document Type: 
Working Paper

Files in This Item:
File
Size
236.75 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.