{"id":{"repo_id":"uiuc","oai_identifier":"oai:www.ideals.illinois.edu:2142/87438"},"canonical_url":"https://search.dev.ndltd.org/etd/uiuc/oai:www.ideals.illinois.edu:2142/87438","repository":{"repo_id":"uiuc","name":"University of Illinois - Urbana-Champaign","base_url":"https://www.ideals.illinois.edu/oai-pmh"},"display":{"title":"Stock Option Returns, a Puzzle","abstract":"Under very weak assumptions, the expected returns of European call options must be positive and increasing in the strike price. This paper investigates the returns to call options on individual stocks that do not have an ex-dividend day prior to expiration. The main findings are that over the 1996 to 2005 period (1) out-of-the-money calls have negative average returns, and (2) the average returns of high strike calls are lower than those of low strike calls. The puzzling returns are robust to a number of variations in methodology, and are not due to a 'peso' problem. Finally, preliminary evidence is presented that is consistent with investor risk-seeking contributing to the puzzling call returns.","abstract_html":"Under very weak assumptions, the expected returns of European call options must be positive and increasing in the strike price. This paper investigates the returns to call options on individual stocks that do not have an ex-dividend day prior to expiration. The main findings are that over the 1996 to 2005 period (1) out-of-the-money calls have negative average returns, and (2) the average returns of high strike calls are lower than those of low strike calls. The puzzling returns are robust to a number of variations in methodology, and are not due to a 'peso' problem. Finally, preliminary evidence is presented that is consistent with investor risk-seeking contributing to the puzzling call returns.","abstract_has_math":false,"creators":["Ni, Xiaoyan"],"institution":"University of Illinois at Urbana-Champaign","degree_name":"Ph.D.","degree_level":"Dissertation","degree_discipline":"Finance","degree_department":null,"school":null,"contributors":["Poteshman, Allen M."],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2015,"date_issued":"2015-09-28T16:03:15Z","date_published":"2015-09-28T16:03:15Z","updated_at":"2026-07-22T22:26:30Z","subjects":["Economics, Finance"],"languages":["eng"],"rights":[],"rights_urls":[],"identifier_entries":[{"key":"dc:identifier","label":"Identifier","values":["(MiAaPQ)AAI3269992"],"render_values":[{"text":"(MiAaPQ)AAI3269992","href":null,"code":true}]}]},"links":{"outbound_url":"http://hdl.handle.net/2142/87438","outbound_label":"Handle","outbound_source":"dc:identifier"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor","label":"Contributor","values":["Poteshman, Allen M."]},{"key":"dc:creator","label":"Author","values":["Ni, Xiaoyan"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date","label":"Dc Date","values":["2015-09-28T16:03:15Z","10000-01-01","2007"]},{"key":"dc:type","label":"Dc Type","values":["text"]},{"key":"thesis:degree_discipline","label":"Discipline","values":["Finance"]},{"key":"thesis:degree_level","label":"Degree Level","values":["Dissertation"]},{"key":"thesis:degree_name","label":"Degree Name","values":["Ph.D."]},{"key":"thesis:institution_name","label":"Thesis Institution Name","values":["University of Illinois at Urbana-Champaign"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Economics, Finance"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language","label":"Dc Language","values":["eng"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier","label":"Identifier","values":["http://hdl.handle.net/2142/87438","(MiAaPQ)AAI3269992"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["Under very weak assumptions, the expected returns of European call options must be positive and increasing in the strike price. This paper investigates the returns to call options on individual stocks that do not have an ex-dividend day prior to expiration. The main findings are that over the 1996 to 2005 period (1) out-of-the-money calls have negative average returns, and (2) the average returns of high strike calls are lower than those of low strike calls. The puzzling returns are robust to a number of variations in methodology, and are not due to a 'peso' problem. Finally, preliminary evidence is presented that is consistent with investor risk-seeking contributing to the puzzling call returns.","Made available in DSpace on 2015-09-28T16:03:15Z (GMT). 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This paper investigates the returns to call options on individual stocks that do not have an ex-dividend day prior to expiration. The main findings are that over the 1996 to 2005 period (1) out-of-the-money calls have negative average returns, and (2) the average returns of high strike calls are lower than those of low strike calls. The puzzling returns are robust to a number of variations in methodology, and are not due to a 'peso' problem. Finally, preliminary evidence is presented that is consistent with investor risk-seeking contributing to the puzzling call returns.","Made available in DSpace on 2015-09-28T16:03:15Z (GMT). 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