This study seeks to determine whether earnings announcements pose non-diversifiable volatility risk that commands a … volatility and pay a premium to hedge this non-diversifiable risk. In particular, we find evidence of risk premiums embedded in … announcements pose non-diversifiable volatility risk. In addition, we find that volatility risk premiums are concentrated among …

21% (47%) of abnormal volatility (trading volume) associated with an average macroeconomic release. The returns earned … announcements’ contribution to index-level volatility has been relatively stable over our sample period from 2004 to 2018, while we … observe a drastic decrease in the volatility explained by macro announcements. The latter is consistent with a growing …

liquidity and volatility. We extend the empirical research by the identification of FTT announcement and short-run treatment … effects, which may distort difference-in-differences estimates. In addition, we account not only for the intraday volatility … but also for long-term volatility measures. While we find strong evidence for a positive FTT announcement effect on …

volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …

This paper examines the relation between firm-level implied volatility skew and the likelihood of extreme negative … events, or crash risk. I show that volatility skew identifies which firms are likely to experience crashes, but only in short …-window earnings announcement periods. The predictive power is incremental to the information in historical volatility, financial …

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 …