کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5085331 | 1477950 | 2008 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Impact of US and UK macroeconomic news announcements on the return distribution implied by FTSE-100 index options
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This study investigates the effect of scheduled US and UK macroeconomic news announcements on the return distribution implied by FTSE-100 option prices. The results provide new evidence for the whole implied return distribution being systematically affected by certain macroeconomic news announcements. After controlling the unexpected content of the news announcement for quality (good vs. bad news) it is found that good (bad) news causes implied volatility to decrease (increase), option-implied return distribution becomes less (more) left-skewed and kurtosis increases (decreases). The results are consistent with the behavioral model created by Barberis et al. [Barberis, N., Shleifer, A., and Vishny, R. (1998). A model of investor sentiment. Journal of Financial Economics, 49, 307-343.], in which good (bad) news is expected to be followed by good (bad) news.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 17, Issue 2, 2008, Pages 242-258
Journal: International Review of Financial Analysis - Volume 17, Issue 2, 2008, Pages 242-258
نویسندگان
Janne Ãijö,