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volatilities implied by these prices tend to fall once the volatility spike induced by an announcement has passed. For a given type … of announcement, the decline in implied volatility is consistent with the average size of the spike in realized …
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We document that implied volatility (IV) curves extracted from short-term equity options frequently become concave …. Firms with concave IV curves exhibit significantly higher absolute stock returns on EAD and higher realized volatility after …
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We develop a measure of how information events impact investors' perceptions of risk that is broadly applicable and simple to implement. We derive this measure from an option-pricing model where investors anticipate an announcement that simultaneously conveys information on the announcer's...
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