Alejandro Bernales
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View article: Effects of Information Overload on Financial Markets: How Much Is Too Much?
Effects of Information Overload on Financial Markets: How Much Is Too Much? Open
Motivated by cognitive theories verifying that investors have limited capacity to process information, we study the effects of information overload on stock market dynamics. We construct an information overload index using textual analysis…
View article: Learning and Index Option Returns
Learning and Index Option Returns Open
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 …
View article: What do we know about individual equity options?
What do we know about individual equity options? Open
This paper examines the empirical literature on individual equity options, discussing results in areas of consensus, showing findings in areas of disagreement and providing a guide for future research (especially highlighting analyses that…
View article: Learning and Index Option Returns
Learning and Index Option Returns Open
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 …
View article: Learning and Index Option Returns
Learning and Index Option Returns Open
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 …
View article: Learning and forecasts about option returns through the volatility risk premium
Learning and forecasts about option returns through the volatility risk premium Open
We use learning in an equilibrium model to explain the puzzling predictive power of the volatility risk premium (VRP) for option returns. In the model, a representative agent follows a rational Bayesian learning process in an economy under…