We examine the reaction of the equity options market to accounting earnings announcements over the period 1996–2008 using changes in implied volatility to measure the options market response to earnings news. We find that positive earnings surprises and positive profit announcements produce a...

The intraday high-low price range offers volatility forecasts similarly efficient to high-quality implied volatility indexes published by the Chicago Board Options Exchange (CBOE) for four stock market indexes: S&P 500, S&P 100, NASDAQ 100, and Dow Jones Industrials. Examination of in-sample and...

We compare the incremental information content of implied volatility and intraday high-low range volatility in the context of conditional volatilityforecasts for three major market indexes: the S&P 100, the S&P 500, and the Nasdaq 100. Evidence obtained from out-of-sample volatility forecasts...

This study investigates the stock price response to Standard & Poor's (S&P) 500 index inclusions during the period 1996–2010 and the role of options listings and options trading volume with regard to the information content of index inclusion announcements. Specifically, we address the...

This paper examines whether cultural dimensions explain the variation in corporate cash holdings around the world as well as within the United States. We establish four major findings. First, in an international setting, corporate cash holdings are negatively associated with individualism and...

Executive stock options with a rising strike price are a recent innovation in executive compensation in Australia and New Zealand. These options combine a dividend protection feature and a strike price that increases at a hurdle rate set with reference to a cost of capital estimate. With a...

A hidden martingale restriction is developed for option pricing models based on Gram–Charlier expansions of the normal density function. The restriction is hidden behind a reduction in parameter space for the Gram–Charlier expansion coefficients. The resulting restriction is invisible in the...