When Did The Smart Money in Enron Lose Its' Smirk?

Bruce Mizrach ()

Departmental Working Papers from Rutgers University, Department of Economics

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.

Keywords: Enron; implied probability distributions; options (search for similar items in EconPapers)
JEL-codes: G13 (search for similar items in EconPapers)
Date: Written
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Persistent link: http://EconPapers.repec.org/RePEc:rut:rutres:200224

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