Access

You are not currently logged in.

Access JSTOR through your library or other institution:

login

Log in through your institution.

If You Use a Screen Reader

This content is available through Read Online (Free) program, which relies on page scans. Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Journal Article

Call-Option Pricing and the Turn of the Year

Kevin J. Maloney and Richard J. Rogalski
The Journal of Business
Vol. 62, No. 4 (Oct., 1989), pp. 539-552
Stable URL: http://www.jstor.org/stable/2353365
Page Count: 14
Were these topics helpful?
See something inaccurate? Let us know!

Select the topics that are inaccurate.

  • Read Online (Free)
  • Download ($14.00)
  • Subscribe ($19.50)
  • Add to My Lists
  • Cite this Item
Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Call-Option Pricing and the Turn of the Year
Preview not available

Abstract

Historically, common stocks have had larger returns and variability of returns around the turn of the year and January. We find that call option prices reflect these historical patterns ex ante. That is, the higher return variability is anticipated and incorporated into the prices of call options whose trade date and expiration date fall on opposite sides of a turn-of-the-year period. These results suggest that both the turn of the year and the January phenomena are widely anticipated by financial markets before the fact.

Page Thumbnails

  • Thumbnail: Page 
539
    539
  • Thumbnail: Page 
540
    540
  • Thumbnail: Page 
541
    541
  • Thumbnail: Page 
542
    542
  • Thumbnail: Page 
543
    543
  • Thumbnail: Page 
544
    544
  • Thumbnail: Page 
545
    545
  • Thumbnail: Page 
546
    546
  • Thumbnail: Page 
547
    547
  • Thumbnail: Page 
548
    548
  • Thumbnail: Page 
549
    549
  • Thumbnail: Page 
550
    550
  • Thumbnail: Page 
551
    551
  • Thumbnail: Page 
552
    552