Showing 1 - 10 of 10
Persistent link: https://www.econbiz.de/10011474512
We examine the association between accounting quality, which is used as a proxy for firm information risk, and the behavior of the term structure of implied option volatility around earnings announcements. By employing a large sample of US firms having options traded on their equity during...
Persistent link: https://www.econbiz.de/10012901936
In this study, we examine the options market reaction to bank loan announcements for the population of US firms with traded options and loan announcements during 1996-2010. We get evidence on a significant options market reaction to bank loan announcements in terms of levels and changes in...
Persistent link: https://www.econbiz.de/10012903492
We examine the impact of accounting quality, used as a proxy for information risk, on the behavior of equity implied volatility around quarterly earnings announcements. Using US data during 1996-2010, we observe that lower (higher) accounting quality significantly relates to higher (lower)...
Persistent link: https://www.econbiz.de/10013032188
Persistent link: https://www.econbiz.de/10012023932
Persistent link: https://www.econbiz.de/10011914550
Persistent link: https://www.econbiz.de/10012938789
Persistent link: https://www.econbiz.de/10010390273
This paper offers new evidence on informed trading around merger and acquisition announcements from the UK equity and options market. The analysis suggests that in about 25%-33% of events there is abnormal option trading volume during the month that precedes the announcement. Such evidence is...
Persistent link: https://www.econbiz.de/10013133655
This paper examines conference call meetings held around merger and acquisition (M&A) announcements in the UK market. Our main findings indicate that conference calls not only facilitate the smoother transmission of M&A-related information in the stock market and smooth the rate of the...
Persistent link: https://www.econbiz.de/10013063336