PhD defence: Mads Vestergaard Jensen

In order to obtain the PhD degree, Mads Vestergaard Jensen submitted his thesis entitled: Financial Frictions - Implications for Early Option Exercise and Realized Volatility

Friday, November 18, 2016 - 14:00 to 16:00

The first chapter (with Lasse Heje Pedersen) shows that the classic rule that one should never exercise a call option early breaks down when frictions are severe enough. The second chapter documents that underlying stocks underperform after early exercise, consistent with private information leading to early exercise. The final chapter (with Christian Skov Jensen) finds that, consistent with an increase in differences of opinion, a positive demand shift for shorting a stock predicts higher volatility for the affected stock.

Professor Lasse Heje Pedersen
Department of Finance
Copenhagen Business School

Secondary Supervisor:
Associate Professor Jesper Lund
Department of Finance
Copenhagen Business School

Assessment Committee:
Professor Claus Munk (Chair)
Department of Finance
Copenhagen Business School

Professor Nicole Branger
Muenster School of Business and Economics
University of Muenster

Professor Bent Jesper Christensen
Institut for Økonomi
Aarhus Universitet

The thesis is available here.

The Doctoral School of Economics and Management will host a reception, which will take place immediately after the defence in FUHU Faculty Club (3rd floor above the canteen).

The page was last edited by: Communications // 09/02/2020