Clearly Irrational Financial Market Behavior : Evidence from the Early Exercise of Exchange Traded Stock Options
This paper analyzes the early exercise of exchange-traded options by different classes of investors over the 1996 to 1999 period. A large number of exercises are identified as clearly irrational without invoking any model of market equilibrium. Customers of discount brokers and customers of full-service brokers both engage in a significant number of irrational exercises while traders at large investment houses exhibit no irrational early exercise behavior. Rational and irrational exercise is triggered for discount and full-service customers by the underlying stock price attaining its highest level over the past year and by high returns on the underlying stock
Year of publication: |
[2003]
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Authors: | Poteshman, Allen M. |
Other Persons: | Serbin, Vitaly (contributor) |
Publisher: |
[2003]: [S.l.] : SSRN |
Description of contents: | Abstract [papers.ssrn.com] |
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