While many studies find that option prices lead stock prices, J. A. Stephan and R. E. Whaley (1990) find that stocks lead options. The authors find no evidence that options, even deep out-of-the-money options, lead stocks. After confirming Stephan and Whaley's results, they show their results...

R. Geske and H. E. Johnson (1984) develop an equation for the American put price and obtain accurate prices using a method requiring quadrivariate normal integrals evaluated over an interval containing four equally spaced exercise points. The authors show that a modification of their method,...

This study examines stock and bond price reactions to dividend changes. The positive stock market response to dividend increases has several potential explanations, two of the more commonly discussed being information content and wealth redistribution between stockholders and bondholders. The...

This article does four things: it calls attention to an important phenomenon heretofore unmentioned in the literature, that is, the dividend spread; it presents open-interest and early-exercise d ata for in-the-money calls around ex dividend dates; it demonstrates that previous results concerning...

This paper examines the retail gasoline price fluctuations known as "gas wars." Weekly prices for the Los Angeles area were examined for the period from January 2, 1968 through December 23, 1975. The observed fluctuations were remarkably regular and, apparently, large ly predictable. The data...

L. Harris and E. Gurel (1986) and A. Shleifer (1986) examined changes in the Standard and Poor's list. Both studies presented evidence inconsistent with efficient markets. Looking at newer data and at bond and option prices, the authors find that case against market efficiency is not compelling....

The result for the pricing of extendible call and put options is generalized, using the Cox and Ross (1976) approach, to the case of an arbitrary number of extensions. Some typographical errors in the Longstaff (1990) results for the simplest case are corrected.