Underreaction, Overreaction, and Increasing Misreaction to Information in the Options Market
研究期权市场对标的资产瞬时方差变化的反应，发现投资者对单日变化反应不足，对连续同向变化期反应过度，且反应方向受前期变化符号影响，这符合认知偏差。
This paper investigates options market reaction to changes in the instantaneous variance of the underlying asset. There are three main findings. First, options market investors underreact to individual daily changes in instantaneous variance. Second, these same investors overreact to periods of mostly increasing or mostly decreasing daily changes in instantaneous variance. Third, they tend to underreact (overreact) to current daily changes in instantaneous variance that are preceded mostly by daily changes of the opposite (same) sign. The third finding can reconcile the first two and is also consistent with well‐established cognitive biases.