全球智库信息集成服务系统(G2TT): What Were the Odds? Estimating the Market's Probability of Uncertain Events

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w28265
来源ID	Working Paper 28265
	What Were the Odds? Estimating the Market's Probability of Uncertain Events
	Ashley Langer; Derek Lemoine
发表日期	2020-12-28
出版年	2020
语种	英语
摘要	An event study generates only a lower bound on the full effect of an event unless researchers know the probability that investors assigned to the event before it occurred. We develop two model-free methods for recovering the market’s priced-in probability of events. These methods require running event studies in financial options to complement the standard event study in stock prices. Validating both approaches, we estimate that the 2016 U.S. election outcome had a 12% chance of occurring. This probability is consistent with contemporary polling, bookmaker, and prediction market estimates. Demonstrating the usefulness of our approaches, we show that many OPEC meetings’ outcomes were well-anticipated. OPEC retained substantial influence on world oil prices even as the U.S. increased oil production.
主题	Econometrics ; Estimation Methods ; Financial Economics ; Financial Markets ; Industrial Organization ; Industry Studies ; Environmental and Resource Economics ; Energy
URL	https://www.nber.org/papers/w28265
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/585938
推荐引用方式 GB/T 7714	Ashley Langer,Derek Lemoine. What Were the Odds? Estimating the Market's Probability of Uncertain Events. 2020.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w28265.pdf（38067KB）	智库出版物		限制开放	CC BY-NC-SA	浏览