THE IMPACT OF OPTION EXPIRATION ON UNDERLYING STOCK PRICES AND THE DETERMINANTS OF THE SIZE OF THE IMPACT.
The purpose of this study is to investigate the daily return behavior of underlying common stocks in the period surrounding the option expiration date. A second purpose is to determine the variables that may be causing the differential capital market effect across firms. The hypothesis of a negative...
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| Language: | en_US |
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The University of Arizona.
1982
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| Online Access: | http://hdl.handle.net/10150/143038 |