An empirical analysis of common stock call exercise: A note
研究了普通股看涨期权是否理性行权，发现约20%的提前行权发生在除息日之外，部分无法用交易成本解释，表明忽略市场摩擦的期权定价模型可能存在设定误差。
This study tests the hypothesis that common stock call options are exercised rationally and in accordance with the commonly used frictionless markets boundary conditions. Using two years of historical early exercise data for common stock call options, the results show that contrary to the frictionless markets boundary conditions, approximately 20 percent of the early call exercise occurs at times other than ex-dividend dates. While most of the non-dividend related early exercise may be explained by transactions costs, a significant number of contracts appear to be exercised irrationally. These results suggest that failure to incorporate market frictions in option pricing models is likely to lead to specification error.