reflect information-driven and noise-induced volatilities. We find that all volatility components reveal distinct dynamics and … significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow …

liquidity in terms of spread, depth, order imbalance, dispersion and slope. We also consider trading activity and volatility …

volatility. The news component of volatility is not positively autocorrelated on these dates, since the news is released at a … these announcement dates, and (2) the persistence pattern of daily volatility is quite different around these days …

behavior of the term structure of implied option volatility around earnings announcements. By employing a large sample of US … significantly associated with stronger (weaker) changes in the steepness of the term structure of implied volatility curve around …

increase in market uncertainty measured by implied volatility. Inconsistent earnings news has a larger effect on market …

It is sometimes argued that an increase in stock market volatility raises required stock returns, and thus lowers stock … for this volatility feedback effect. The resulting model is asymmetric, because volatility feedback amplifies large … for large crashes. The model also implies that volatility feedback is more important when volatility is high. In U …

market reaction from earnings announcements with greater abnormal implied volatility spread immediately before the EAD. By …