Ex-Dividend Arbitrage in Option Markets

摘要：

We examine the behavior of call options surrounding underlying stocks exdividend date. The evidence is inconsistent with the predictions of rational exercise policy; a significant fraction of the open interest remains unexercised, resulting in a windfall gain to option writers. This triggers a sophisticated trading scheme that enables short-term traders to receive a significant fraction of the gains. The trading scheme inflates reported volume and distorts its traditional relations to liquidity. The dramatic increases in volume of trade on the last cum-dividend day are facilitated by limitations on transaction costs passed by the various option exchanges.

作者: Jia Hao Avner Kalay Stewart Mayhew

作者单位: Wayne State University Tel Aviv University and University of Utah Office of Economic Analysis U.S.Securities and Exchange Commission

会议类型: 国际会议

会议名称: 2008年中国金融国际年会

会议地点: 大连

会议语种:英文

页码: 1-47

在线出版日期: 2008-07-02（万方平台首次上网日期，不代表论文的发表时间）