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Earnings Announcement Idiosyncratic Volatility and the Cross-Section of Stock Returns
Truong, Cameron - 2015
We document a significant positive relation between earnings announcement idiosyncratic volatility and stock returns in … with the highest earnings announcement idiosyncratic volatility and stocks with the lowest earnings announcement … idiosyncratic volatility exceeds 100 basis points in the 10 days leading up to the earnings announcements. The pricing of earnings …
Persistent link: https://www.econbiz.de/10013009762
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Analysis of systematic risk around firm-specific news in an emerging market using high frequency data
Saleem, Shabir A. A.; Smith, Peter N.; Yalaman, Abdullah - 2021
Persistent link: https://www.econbiz.de/10012586184
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Analysis of systematic risk around firm-specific news in an emerging market using high frequency data
Saleem, Shabir A. A.; Smith, Peter N.; Yalaman, Abdullah - 2020
Persistent link: https://www.econbiz.de/10012491887
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Information and opinions in financial markets
Banerjee, Snehal - 2007
Persistent link: https://www.econbiz.de/10009691380
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Time-varying beta risk, volatility persistence and the asymmetric impact of news : evidence from industry portfolios
Koutmos, Dimitrios - In: Global business & economics review 13 (2011) 1, pp. 42-56
Persistent link: https://www.econbiz.de/10009126431
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Sectoral Betas : Pre and Post CPEC Announcement Comparison
Zafar, Maryam - 2017
CPEC, a mega project that aims to connect Gwadar from Kashghar, is not only a game changer for China and Pakistan but it is for the whole region. This research paper will disclose the impact of the announcement of CPEC on different sectors including cement, automobile, banking, insurance and...
Persistent link: https://www.econbiz.de/10012955491
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Using Option Implied Volatilities to Predict Absolute Stock Returns - Evidence from Earnings Announcements and Annual Shareholders’ Meetings
Govindaraj, Suresh - 2014
We provide evidence that an option implied volatility-based measure predicts future absolute excess returns of the … return volatility shortly before these information events, and the volatility of excess stock returns around these two events …, and also trade on the expected volatility. In addition, we show that net straddle returns (after transaction costs) around …
Persistent link: https://www.econbiz.de/10013046741
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Socially Responsible Investment Returns and News : Evidence from Asia
Yen, Meng-Feng (Stephane) - 2019
We set out in this study to examine: (i) whether ‘socially responsible investment' (SRI) portfolios can outperform less-SRI portfolios in the emerging Asian stock markets; and (ii) whether investors within these emerging markets achieve awareness of SRI through publicly available news. Based...
Persistent link: https://www.econbiz.de/10012864591
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Idiosyncratic Return Volatility and Price Informativeness : Evidence from Stock Splits
Liu, Mark H. - 2013
Whether higher idiosyncratic return volatility means more or less informative stock prices is an ongoing debate. All … informativeness on idiosyncratic volatility from other effects. I circumvent this problem by investigating how price informativeness … and idiosyncratic volatility change for the same firm around stock splits. I find a strong negative relation between the …
Persistent link: https://www.econbiz.de/10013091400
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Idiosyncratic Return Volatility and Price Informativeness : Evidence from Stock Splits
Liu, Mark H. - 2012
Whether higher idiosyncratic return volatility means more or less informative stock prices is an ongoing debate. All … informativeness on idiosyncratic volatility from other effects. I circumvent this problem by investigating how price informativeness … and idiosyncratic volatility change for the same firm around stock splits. I find a strong negative relation between the …
Persistent link: https://www.econbiz.de/10013112351