Showing 1 - 10 of 39
Persistent link: https://www.econbiz.de/10002253950
This study examines the profitability of trading on earnings surprises in the post-earnings announcement period for Canadian equities spanning the period 1994-2009. There is clear evidence that stock prices drift in the direction of earnings surprise for several months following an earnings...
Persistent link: https://www.econbiz.de/10013128669
We examine the relation between options trading and the extent that stock prices lead future earnings information in the period 1998-2009. In a firm specific approach, we find that stock prices reflect future earnings information to a greater extent in firms' post-options-listing period than in...
Persistent link: https://www.econbiz.de/10013132376
The literature shows that price and earnings momentum returns cannot be fully explained by risk-based theories. In an attempt to better understand the price momentum anomaly, Chui et al. [2010] document that the cultural factor of "individualism" influences price momentum returns, but that the...
Persistent link: https://www.econbiz.de/10013132388
The literature shows that price and earnings momentum returns cannot be fully explained by risk-based theories. In an attempt to better understand the price momentum anomaly, Chui et al. [2010] document that the cultural factor of ― individualism influences price momentum returns, but that the...
Persistent link: https://www.econbiz.de/10013137293
This study examines the effect of options trading on the January effect in the period 1996-2009. The options market offers investors an alternative trading venue that circumvents several trading limitations in the equity market and hence enables a higher level of arbitrage activities. In a...
Persistent link: https://www.econbiz.de/10013121878
This study examines the bond pricing behaviour over a 30-day interval subsequent to earnings announcements in the sample period of 2002 – 2010. Our results report a significant and positive relation between bond returns and earnings surprises over the 30-day post-earnings announcement period....
Persistent link: https://www.econbiz.de/10013101751
We investigate the prevalence of informed options trading prior to takeover announcements, when the legal prohibition against insider trading is strictest. Although insider trading laws apply equally to the options and stock markets, the options market is considerably more transparent than the...
Persistent link: https://www.econbiz.de/10013068795
We document a significant positive relation between earnings announcement idiosyncratic volatility and stock returns in the 10-day window before future earnings announcements. The average of risk-adjusted return differences between stocks with the highest earnings announcement idiosyncratic...
Persistent link: https://www.econbiz.de/10013000946
We examine the effect of options trading volume on the stock price response to earnings announcements over the period 1996–2007. Contrary to prior studies, we find no significant difference in the immediate stock price response to earnings information announcements between firms with listed...
Persistent link: https://www.econbiz.de/10013150254