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Does the information content of payout initiations and omissions influence firm risks?

von Eije, Henk; Goyal, Abhinav; Muckley, Cal B. - In: Journal of Econometrics 183 (2014) 2, pp. 222-229

We study the influence on firm risks of NASDAQ and NYSE firm payout initiations and omissions. These payout events can … estimate the effect of the information content of actual initiations and omissions on firm risks. We find consistent … significant declines in total, aggregate systematic, and idiosyncratic firm risks after cash dividend initiations and increases …

Persistent link: https://www.econbiz.de/10011077594

Demand-Based Option Pricing

Garleanu, Nicolae Bogdan; Pedersen, Lasse Heje; … - C.E.P.R. Discussion Papers - 2005

We model the demand-pressure effect on prices when options cannot be perfectly hedged. The model shows that demand pressure in one option contract increases its price by an amount proportional to the variance of the unhedgeable part of the option. Similarly, the demand pressure increases the...

Persistent link: https://www.econbiz.de/10005067592

Accounting quality, information risk and implied volatility around earnings announcements

Anagnostopoulou, Seraina C.; Tsekrekos, Andrianos E. - In: Journal of international financial markets, … 34 (2015), pp. 188-207

Persistent link: https://www.econbiz.de/10011474512

The role of political uncertainty in Australian financial markets

Smales, Lee A. - In: Accounting and finance : journal of the Accounting … 56 (2016) 2, pp. 545-575

Persistent link: https://www.econbiz.de/10011585993

Risk perception in financial markets : on the flip side

Bekiros, Stelios; Jlassi, Mouna; Naoui, Kamel; Uddin, … - In: International review of financial analysis 57 (2018), pp. 184-206

Persistent link: https://www.econbiz.de/10012006344

Dynamics of co-movements among implied volatility, policy uncertainty and market performance

Ur Rehman, Mobeen - In: Global business review 18 (2017) 6, pp. 1478-1487

Persistent link: https://www.econbiz.de/10011800032

Monetary policy and uncertainty resolution in commodity markets

Gu, Chen; Kurov, Alexander; Stan, Raluca - In: Finance research letters 55 (2023) 1, pp. 1-7

Persistent link: https://www.econbiz.de/10014473287

Can policy and financial risk predict stock markets?

Helseth, Marius Aleksander Emblem; Krakstad, Svein Olav; … - In: Journal of economic behavior & organization : JEBO 176 (2020), pp. 701-719

Persistent link: https://www.econbiz.de/10012431737

Examining the relationship between policy uncertainty and market uncertainty across the G7

Smales, Lee A. - In: International review of financial analysis 71 (2020), pp. 1-17

Persistent link: https://www.econbiz.de/10012436468

Information uncertainty and implied volatilities

Hong, Jong-Woon; Park, Hyoung-Jin - In: Journal of international trade & commerce 15 (2019) 2, pp. 31-43

Persistent link: https://www.econbiz.de/10012545214

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