Clearly irrational financial market behavior: Evidence from the early exercise of exchange traded stock options

• 成果类型: Article
• 署名作者: Poteshman, AM; Serbin, V
• 署名单位: University of Illinois System; University of Illinois Urbana-Champaign
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/1540-6261.00518
• 发表日期: 2003
• 页码: 37-70
• 关键词: CONVERTIBLE BONDS; call; conversion; securities; valuation

摘要

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.