Article ID Journal Published Year Pages File Type
963464 Journal of International Financial Markets, Institutions and Money 2012 28 Pages PDF
Abstract
► The paper evaluates the reaction of the equity options market to accounting earnings announcements. ► We examine changes in implied volatility to measure the options market response to earnings news. ► We find that positive earnings surprises or profit earnings announcements result in a larger drop of implied volatility than negative or loss earnings announcements. ► 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.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Authors
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