FRIC PhD defence: Mads Vestergaard Jensen

Mads Vestergaard Jensen will defend his thesis Financial Frictions - Implications for Early Option Exercise and Realized Volatility on Friday November 18, 2016 at 2 pm.

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.

Supervisor:
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

Thesis: Financial Frictions - Implications for Early Option Exercise and Realized Volatility

Reception:
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).