Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
963464 | Journal of International Financial Markets, Institutions and Money | 2012 | 28 Pages |
Abstract
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.
Related Topics
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Authors
Cameron Truong, Charles Corrado, Yangyang Chen,