Clearly Irrational Financial Market Behavior: Evidence from the Early Exercise of Exchange Traded Stock Options
分析1996至1999年间不同投资者提前行权交易所交易期权的行为，发现折扣经纪商和全服务经纪商的客户存在大量非理性行权，而大型投资机构的交易者则没有。
This paper analyzes the early exercise of exchange‐traded options by different classes of investors over the 1996 to 1999 period. A large number of exercises are identified as clearly irrational without invoking any model of market equilibrium. Customers of discount brokers and customers of fullservice brokers both engage in a significant number of irrational exercises while traders at large investment houses exhibit no irrational early exercise behavior. Rational and irrational exercise is triggered for discount and full‐service customers by the underlying stock price attaining its highest level over the past year and by high returns on the underlying stock.