کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5100302 | 1478828 | 2017 | 45 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Earnings announcements and option returns
ترجمه فارسی عنوان
اعلام سود و گزینه بازگشت
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کلمات کلیدی
اعلام سود قیمت گذاری گزینه نوسان قیمت سهام،
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
While prior studies find that returns on option straddles are generally negative, we show that returns on straddles purchased prior to earnings announcements are actually positive. The earnings announcement impact is compounded when the pre-portfolio formation volatility is low (high) and the pre-expiration realized volatility is high (low). Apparently, the average option trader underestimates future volatility before forthcoming earnings announcements, particularly after a period of relatively low volatility, and overestimates future volatility after recent earnings announcements, particularly after a period of relatively high volatility. The overestimation of future volatility after recent earnings announcements also increases with the magnitude of the earnings surprise.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 40, January 2017, Pages 220-235
Journal: Journal of Empirical Finance - Volume 40, January 2017, Pages 220-235
نویسندگان
Sung Gon Chung, Henock Louis,