• Skip to main content
  • Skip to footer

OptionMetrics

search
  • About Us
    • Who We Serve
    • Why OptionMetrics
    • Leadership
  • Data Products
    • Equities
      • United States
      • Europe
      • Asia
      • Canada
      • ETFs
    • Futures
    • Signed Volume
    • Implied Beta
    • Dividend
      • Implied Dividend
      • Dividend Forecasting
  • Research
  • Blog
  • News & Events
  • Careers
  • Contact

A. Langer and D. Lemoine: What Were the Odds? Estimating the Market’s Probability of Uncertain Events

December 1, 2020

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.

Download

Share this post:
  • Facebook
  • Pinterest
  • Twitter
  • Linkedin
OptionMetrics Logo
  • About Us
  • Who We Serve
  • Why OptionMetrics
  • Leadership
  • Data Products
  • Equities
  • Futures
  • Signed Volume
  • Implied Beta
  • Dividend
  • Research
  • Blog
  • News & Events
  • Careers
  • Contact Us
  • Support Request
Stay Connected

dashicons-linkedin dashicons-twitter dashicons-facebook-alt

This site is protected by reCAPTCHA and the Google Privacy Policy and Terms of Service apply

© 2025 OptionMetrics, LLC. All Rights Reserved. | Privacy Policy | Terms of Use | Accessibility | Site Map