Rational Early Exercise of Call Options: Australian Evidence
affiliation not provided to SSRN
Rob L. Brown
University of Melbourne - Department of Finance; Financial Research Network (FIRN)
Accounting & Finance, Vol. 51, Issue 3, pp. 732-744, 2011
Alpert (2010) develops a detailed analysis of the conditions for rational early exercise of call options in the presence of taxes. Using Alpert’s analysis as the theoretical framework, we examine the early exercise of call options in Australia over the period from 1 January 2001 to 30 June 2008. We find that exercises occurring on the last cum‐dividend trading day can be fully explained by non‐tax reasons, whilst taxation is a potential explanation for a large proportion of the early exercises that occur at other times.
Number of Pages in PDF File: 13
Keywords: Call options, Early exercise, Taxes, G13Accepted Paper Series
Date posted: August 3, 2011
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