Baik, Bok; Kang, Hyoung-Goo; Kim, Young Jun - In: Pacific-Basin Finance Journal 23 (2013) C, pp. 109-130
We examine the presence and performance of volatility arbitrage opportunities around earnings announcements using daily ELW (equity linked warrant) trade data in the Korean market. We find that volatilities drift in a predictable and monotonic fashion, which is different from findings in prior...