The Early Exercise Risk Premium

The authors are greatly indebted to Lukas Schmid (the department editor), an anonymous associate editor, and two referees for insightful and constructive advice helping to broaden their contribution. The authors are also indebted to Carol Alexander, Michael Brennan, Steve Figlewski, Massimo Guidolin, Kris Jacobs, Julia Kapraun, Olga Kolokolova, Alex Kostakis, Hugues Langlois, Hening Liu, Kevin Schneider, Tyler Shumway, Roméo Tédongap, Christian Wagner, and Bob Whaley as well as seminar or conference participants at Alliance Manchester Business School, Aston Business School, Lancaster University Management School, Paris-Dauphine University, the 35th Annual Conference of the French Finance Association (Paris), the Fifth Young Finance Scholars Conference (Brighton), the 2018 European Financial Management Association Meeting (Milan), the 2018 Frontiers of Factor Investing Conference (Lancaster), the Fourth Konstanz-Lancaster Workshop on Finance and Econometrics (Konstanz), and the 2020 Financial Management Association Annual Meeting (virtual) for further suggestions.