Badshah, Ihsan Ullah; Koerniadi, Hardjo - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-9
trading around quarterly earnings announcements is either directionally motivated and/or volatility motivated. We found … evidence that is consistent with the idea that option investors have private information prior to positive earnings … announcements and use at-the-money options to exploit their informational advantage. In the post-event period, however, informed …
