Information revelation through option exercise

Review of Financial Studies

Volumn 12, Issue 1, 1999, Pages 95-129

  Grenadier, Steven R ^a  

^a STANFORD UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0040205760     PISSN: 08939454     EISSN: None     Source Type: Journal    
DOI: 10.1093/rfs/12.1.95     Document Type: Article

References (31)

1. Admati, A., and P. Pfleiderer, 1986, "A Monopolistic Market for Information," Journal of Economic Theory, 39, 400-438.
2. Admati, A., and P. Pfleiderer, 1988, "Selling and Trading on Information in Financial Markets," American Economic Review, 78, 96-103.
3. Back, K., 1993, "Asymmetric Information and Options," Review of Financial Studies, 6, 435-472.
4. Banerjee, A. V., 1992, "A Simple Model of Herd Behavior," Quarterly Journal of Economics, 107, 797-817.
5. Bikhchandani, S., D. Hirshleifer, and I. Welch, 1992, "A Theory of Fads, Fashion, Custom, and Cultural Change as Informational Cascades," Journal of Political Economy, 100, 992-1026.
6. Birch, D., 1990, "America's Future Office Space Needs," National Association of Industrial and Office Parks, Washington, D.C.
7. Caplin, A., and J. Leahy, 1993, "Miracle on Sixth Avenue: Information Externalities and Search," Discussion Paper 1665, Harvard Institute of Economic Research, Harvard University.
8. Chamley, C., and D. Gale, 1994, "Information Revelation and Strategic Delay in a Model of Investment," Econometrica, 62, 1065-1085.
9. Childs, P., S. Ott, and T. Riddiough, 1996, "Incomplete Information, Exercise Policy, and the Valuation of Claims on Noisy Real Assets," working paper, University of Kentucky.
10. Constantinides, G., 1984, "Warrant Exercise and Bond Conversion in Competitive Markets," Journal of Financial Economics, 13, 371-397.
11. Cox, J. C., and S. A. Ross, 1976, "The Valuation of Options for Alternative Stochastic Processes," Journal of Financial Economics, 3, 145-166.
12. Dixit, A. K., and R. S. Pindyck, 1994, "Investment Under Uncertainty," Princeton University Press, Princeton, N.J.
13. Dybvig, P. H., and C. S. Spatt, 1983, "Adoption Externalities as Public Goods," Journal of Public Economics, 20, 231-247.
14. Emanuel, D. C., 1983, "Warrant Valuation and Exercise Strategy," Journal of Financial Economics, 12, 211-235.
15. Grenadier, S. R., 1995, "Valuing Lease Contracts: A Real Options Approach," Journal of Financial Economics, 38, 297-331.
16. Grenadier, S. R., 1996, "The Strategic Exercise of Options: Development Cascades and Overbuilding in Real Estate Markets," Journal of Finance, 51, 1653-1679.
17. Harrison, J. M., 1985, "Brownian Motion and Stochastic Flow Systems," Wiley, New York.
18. Hendricks, K., and D. Kovenock, 1989, "Asymmetric Information, Information Externalities, and Efficiency: The Case of Oil Exploration," RAND Journal of Economics, 20, 164-182.
19. Hendricks, K., R. H. Porter, and B. Boudreau, 1987, "Information and Returns in OCS Auctions: 1954-1969," Journal of Industrial Economics, 35, 517-542.
20. Hirshleifer, D., 1995, "The Blind Leading the Blind: Social Influence, Fads and Informational Cascades," in K. Ierulli and M. Tommasi (eds.), The New Economics of Human Behaviour, Cambridge University Press, Cambridge.
21. Katz, M. L., and C. Shapiro, 1986, "Technology Adoption in the Presence of Network Externalities," Journal of Political Economy, 94, 822-841.
22. Kyle, A. S., 1985, "Continuous Auctions and Insider Trading," Econometrica, 53, 1315-1335.
23. Merton, R. C., 1973, "Theory of Rational Option Pricing," Bell Journal of Economics and Management Science, 4, 141-183.
24. Paddock, J. L., D. R. Siegel, and J. L. Smith, 1988, "Option Valuation of Claims on Real Assets: The Case of Offshore Petroleum Leases," Quarterly Journal of Economics, 103, 479-508.
25. Scharfstein, D., and J. Stein, 1990, "Herd Behavior and Investment," American Economic Review, 80, 465-479.
26. Spatt, C. S., and F. P. Sterbenz, 1988, "Warrant Exercise, Dividends, and Reinvestment Policy," Journal of Finance, 43, 493-506.
27. Titman, S., 1985, "Urban Land Prices Under Uncertainty," American Economic Review, 75, 505-514.
28. Welch, I., 1992, "Sequential Sales, Learning, and Cascades," Journal of Finance, 47, 695-732.
29. Williams, J. T., 1993, "Equilibrium and Options on Real Assets," Review of Financial Studies, 6, 825-850.
30. Zhang, J., 1997, "Strategic Delay and the Onset of Investment Cascades," RAND Journal of Economics, 28, 188-205.
31. Zwiebel, J., 1995, "Corporate Conservatism and Relative Compensation," Journal of Political Economy, 103, 1-25.