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- W3197476908 abstract "An event study generates only a lower bound on the full effect of an event unless researchers know the probability that investors assigned to the event before it occurred. We develop two model-free methods for recovering the market’s priced-in probability of events. These methods require running event studies in financial options to complement the standard event study in stock prices. Validating both approaches, we estimate that the 2016 U.S. election outcome had a 12% chance of occurring. This probability is consistent with contemporary polling, bookmaker, and prediction market estimates. Demonstrating the usefulness of our approaches, we show that many OPEC meetings’ outcomes were well-anticipated. OPEC retained substantial influence on world oil prices even as the U.S. increased oil production.Institutional subscribers to the NBER working paper series, and residents of developing countries may download this paper without additional charge at www.nber.org." @default.
- W3197476908 created "2021-09-13" @default.
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- W3197476908 date "2020-12-01" @default.
- W3197476908 modified "2023-09-26" @default.
- W3197476908 title "What Were the Odds? Estimating the Market's Probability of Uncertain Events" @default.
- W3197476908 hasPublicationYear "2020" @default.
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