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Journal of Finance

Implied Binomial Trees [статья]
Опубликовано на портале: 26-10-2004
Mark Rubinstein Journal of Finance. 1994.  Vol. 49. No. 3. P. 771-818. 
This article develops a new method for inferring risk-neutral probabilities (or state-contingent prices) from the simultaneously observed prices of European options. These probabilities are then used to infer a unique fully specified recombining binomial tree that is consistent with these probabilities (and, hence, consistent with all the observed option prices). A simple backwards recursive procedure solves for the entire tree. From the standpoint of the standard binomial option pricing model, which implies a limiting risk-neutral lognormal distribution for the underlying asset, the approach here provides the natural (and probably the simplest) way to generalize to arbitrary ending risk-neutral probability distributions.
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Опубликовано на портале: 22-06-2006
John J. McConnell, Gregory B. Kadlec Journal of Finance. 1994.  Vol. 49. No. 2. P. 611-636. 
This article documents the effect on share value of listing on the New York Stock Exchange and reports the results of a joint test of Mertons (1987) investor recognition factor and Amihud and Mendelsons (1986) liquidity factor as explanations of the change in share value. We find that, on average, firms earn abnormal returns of 5 percent in response to the listing announcement and that listing is associated an increase in number of shareholders, and a reduction in bid-ask spreads. Cross-sectional regressions provide support for both investor recognition and bid-ask spreads as sources of value from exchange listing.
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