Abstract

  


 



Rational Early Exercise of Call Options: Australian Evidence


Grace Phang


affiliation not provided to SSRN

Rob L. Brown


University of Melbourne - Department of Finance; Financial Research Network (FIRN)
September 2011

Accounting & Finance, Vol. 51, Issue 3, pp. 732-744, 2011

Abstract:     
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, G13

Accepted Paper Series


Date posted: August 3, 2011  

Suggested Citation

Phang, Grace and Brown, Rob L., Rational Early Exercise of Call Options: Australian Evidence (September 2011). Accounting & Finance, Vol. 51, Issue 3, pp. 732-744, 2011. Available at SSRN: http://ssrn.com/abstract=1904120 or http://dx.doi.org/10.1111/j.1467-629X.2010.00370.x

Contact Information

Grace Phang (Contact Author)
affiliation not provided to SSRN
Rob L. Brown
University of Melbourne - Department of Finance ( email )
Faculty of Economics and Commerce
Parkville, Victoria 3010 3010
Australia
Financial Research Network (FIRN)
C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia
HOME PAGE: http://www.firn.org.au

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