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Mortgage loan securitization and personal consumption smoothening

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Do credit rating agencies sacrifice timeliness by pursuing rating stability? : evidence from equity market reactions to CreditWatch events

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Do dividend initiations signal a reduction in risk? : evidence from the option market

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Do dividend initiations signal a reduction in risk? Evidence from the option market

Jones, Jeffrey; Gu, Jenny; Liu, Pu - In: Review of Quantitative Finance and Accounting 42 (2014) 1, pp. 143-158

We investigate whether dividends convey information about the risk of a company by examining the reaction of implied volatility in the option market to the announcement of a dividend initiation. Implied volatility decreases after the announcement and the magnitude of the decline in volatility is...

Persistent link: https://www.econbiz.de/10010867659