Learning and Index Option Returns
研究了投资者学习过程能否解释看跌指数期权的异常收益，通过构建部分信息下的均衡模型，发现贝叶斯学习能产生与标普500看跌指数期权实际收益相似的回报。
Little is known about the economic sources that may generate the abnormal returns observed in put index options. We show that the learning process followed by investors may be one such source. We develop an equilibrium model under partial information in which a rational Bayesian learner prices put option contracts. Our model generates put option returns similar to the empirical returns of S&P 500 put index options. This result is not obtained when we analyze alternative setups of the model in which no learning process exists.