کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
963464 | 930355 | 2012 | 28 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The options market response to accounting earnings announcements
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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
⺠The paper evaluates the reaction of the equity options market to accounting earnings announcements. ⺠We examine changes in implied volatility to measure the options market response to earnings news. ⺠We find that positive earnings surprises or profit earnings announcements result in a larger drop of implied volatility than negative or loss earnings announcements. ⺠We also present a key research finding that there is an inverse relation between earnings news and the change in implied volatility in a short window immediately following an earnings announcement.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 22, Issue 3, July 2012, Pages 423-450
Journal: Journal of International Financial Markets, Institutions and Money - Volume 22, Issue 3, July 2012, Pages 423-450
نویسندگان
Cameron Truong, Charles Corrado, Yangyang Chen,