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Title:Stock Option Returns, a Puzzle
Author(s):Ni, Xiaoyan
Doctoral Committee Chair(s):Poteshman, Allen M.
Department / Program:Finance
Discipline:Finance
Degree Granting Institution:University of Illinois at Urbana-Champaign
Degree:Ph.D.
Genre:Dissertation
Subject(s):Economics, Finance
Abstract:Under very weak assumptions, the expected returns of European call options must be positive and increasing in the strike price. This paper investigates the returns to call options on individual stocks that do not have an ex-dividend day prior to expiration. The main findings are that over the 1996 to 2005 period (1) out-of-the-money calls have negative average returns, and (2) the average returns of high strike calls are lower than those of low strike calls. The puzzling returns are robust to a number of variations in methodology, and are not due to a 'peso' problem. Finally, preliminary evidence is presented that is consistent with investor risk-seeking contributing to the puzzling call returns.
Issue Date:2007
Type:Text
Language:English
Description:55 p.
Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 2007.
URI:http://hdl.handle.net/2142/87438
Other Identifier(s):(MiAaPQ)AAI3269992
Date Available in IDEALS:2015-09-28
Date Deposited:2007


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