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An empirical analysis of common stock call exercise: A note

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  • Finucane, Thomas J.

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  • Finucane, Thomas J., 1997. "An empirical analysis of common stock call exercise: A note," Journal of Banking & Finance, Elsevier, vol. 21(4), pages 563-571, April.
  • Handle: RePEc:eee:jbfina:v:21:y:1997:i:4:p:563-571
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    References listed on IDEAS

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    1. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
    2. Diz, Fernando & Finucane, Thomas J, 1993. "The Rationality of Early Exercise Decisions: Evidence from the S&P 100 Index Options Market," Review of Financial Studies, Society for Financial Studies, vol. 6(4), pages 765-797.
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    Cited by:

    1. Grace Phang & Rob Brown, 2011. "Rational early exercise of call options: Australian evidence," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 51(3), pages 732-744, September.
    2. Pool, Veronika Krepely & Stoll, Hans R. & Whaley, Robert E., 2008. "Failure to exercise call options: An anomaly and a trading game," Journal of Financial Markets, Elsevier, vol. 11(1), pages 1-35, February.
    3. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    4. Eickholt, Mathias & Entrop, Oliver & Wilkens, Marco, 2014. "Individual investors and suboptimal early exercises in the fixed-income market," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe 14, University of Passau, Faculty of Business and Economics.
    5. Jensen, Mads Vestergaard & Pedersen, Lasse Heje, 2016. "Early option exercise: Never say never," Journal of Financial Economics, Elsevier, vol. 121(2), pages 278-299.
    6. Mahani, Reza S. & Poteshman, Allen M., 2008. "Overreaction to stock market news and misevaluation of stock prices by unsophisticated investors: Evidence from the option market," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 635-655, September.
    7. Chockalingam, Arun & Feng, Haolin, 2015. "The implication of missing the optimal-exercise time of an American option," European Journal of Operational Research, Elsevier, vol. 243(3), pages 883-896.
    8. Eickholt, Mathias & Entrop, Oliver & Wilkens, Marco, 2014. "What makes individual investors exercise early? Empirical evidence from the fixed-income market," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe 15, University of Passau, Faculty of Business and Economics.
    9. Karen Alpert, 2010. "Taxation and the Early Exercise of Call Options," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(5-6), pages 715-736.
    10. Jiang, George J. & Tian, Yisong S., 2010. "Misreaction or misspecification? A re-examination of volatility anomalies," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2358-2369, October.
    11. Chiang, Chin-Han, 2014. "Stock returns on option expiration dates: Price impact of liquidity trading," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 273-290.
    12. Karen Alpert, 2010. "Taxation and the Early Exercise of Call Options," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(5‐6), pages 715-736, June.
    13. Eickholt, Mathias & Entrop, Oliver & Wilkens, Marco, 2018. "What makes individual investors exercise early? Empirical evidence from non-tradable fixed-income products," Journal of Banking & Finance, Elsevier, vol. 97(C), pages 318-334.

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