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oai:www.ideals.illinois.edu:2142/87438 2023-07-11 col_2142_5131 col_2142_17364 com_2142_5130 com_2142_17363 com_2142_9216

Poteshman, Allen M. Ni, Xiaoyan 2015-09-28T16:03:15Z 2015-09-28T16:03:15Z 10000-01-01 2007 2007 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. Made available in DSpace on 2015-09-28T16:03:15Z (GMT). No. of bitstreams: 2 license.txt: 4848 bytes, checksum: 96035ab3f5e1c23cc7138a224ce498bd (MD5) 3269992.pdf: 1304408 bytes, checksum: 5422f7422b132862bc45e94035fdcef5 (MD5) Previous issue date: 2007 Embargo set by: Seth Robbins for item 88719 Lift date: Forever Reason: Restricted to the U of I community idenfinitely during batch ingest of legacy ETDs Restricted to the U of I community idenfinitely during batch ingest of legacy ETDs U of I Only 55 p. Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 2007. http://hdl.handle.net/2142/87438 (MiAaPQ)AAI3269992 eng Economics, Finance Stock Option Returns, a Puzzle text Finance Finance University of Illinois at Urbana-Champaign Dissertation Ph.D.