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The Ex-Dividend Day Behavior of Option Prices

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  • Kalay, Avner
  • Subrahmanyam, Marti G

Abstract

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Suggested Citation

  • Kalay, Avner & Subrahmanyam, Marti G, 1984. "The Ex-Dividend Day Behavior of Option Prices," The Journal of Business, University of Chicago Press, vol. 57(1), pages 113-128, January.
    • Handle: RePEc:ucp:jnlbus:v:57:y:1984:i:1:p:113-28
    DOI: 10.1086/296227
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    Cited by:

    1. Vassilis A. Efthymiou & George N. Leledakis, 2014. "The price impact of the disposition effect on the ex-dividend day of NYSE and AMEX common stocks," Quantitative Finance, Taylor & Francis Journals, vol. 14(4), pages 711-724, April.
    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. Linda S. Klein & David R. Peterson, 1988. "Investor Expectations Of Volatility Increases Around Large Stock Splits As Implied In Call Option Premia," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 11(1), pages 71-80, March.
    4. 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.

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