What can we learn from firm-level jump-induced tail risk around earnings announcements?
Year of publication: |
2022
|
---|---|
Authors: | Liu, Mengxi ; Chan, Kam Fong ; Faff, Robert W. |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 138.2022, p. 1-13
|
Subject: | Earnings announcements | Implied moments | Jump-implied variance contribution index | Tail risk | Ankündigungseffekt | Announcement effect | Gewinn | Profit | Gewinnprognose | Earnings announcement | Volatilität | Volatility | Börsenkurs | Share price | Statistische Verteilung | Statistical distribution | Risikomaß | Risk measure |
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