The Early Exercise Risk Premium
研究了美式看跌期权因可提前行权而产生的风险溢价，发现与欧式期权相比，美式期权的原始收益更高但德尔塔对冲收益更低，且提前行权概率影响收益差异。
We study the asset pricing implications of being able to optimally early exercise plain vanilla puts, contrasting expected raw and delta-hedged returns across equivalent American and European puts. Our theory suggests that American puts yield less negative raw but more negative delta-hedged expected returns than equivalent European puts. The raw (delta-hedged) spread widens with a higher early exercise probability as induced through, for example, moneyness, time to maturity, and underlying asset volatility (variance and jump risk premiums). An empirical comparison of single-stock American puts with equivalent synthetic European puts formed from put–call parity supports our theory if and only if we allow for optimal early exercises in our return calculations. More strikingly, allowing for optimal early exercises significantly alters the profitability of 14 out of 15 well-known option anomalies with the average absolute change equal to 33% and five anomalies becoming insignificant. This paper was accepted by Lukas Schmid, finance. Supplemental Material: The internet appendix and data files are available at https://doi.org/10.1287/mnsc.2023.00440 .