Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/79191
Authors: 
Mizrach, Bruce
Year of Publication: 
2002
Series/Report no.: 
Working Papers, Department of Economics, Rutgers, The State University of New Jersey 2002,24
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

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