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Earnings Announcement Idiosyncratic Volatility and the Cross-Section of Stock Returns

Truong, Cameron - 2016

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/10013000946

Earnings Announcement Idiosyncratic Volatility and the Cross-Section of Stock Returns

Truong, Cameron - 2015

Persistent link: https://www.econbiz.de/10013009762

Earnings Announcement Idiosyncratic Volatility and the Cross-Section of Stock Returns

Truong, Cameron - 2016

Persistent link: https://www.econbiz.de/10012999625

Avoiding idiosyncratic volatility : flow sensitivity to individual stock returns

Di Maggio, Marco; Franzoni, Francesco; Kogan, Shimon; … - 2023

Persistent link: https://www.econbiz.de/10014483227

Information and opinions in financial markets

Banerjee, Snehal - 2007

Persistent link: https://www.econbiz.de/10009691380

Option pricing of earnings announcement risks

Dubinsky, Andrew; Johannes, Michael; Kaeck, Andreas; … - In: The review of financial studies 32 (2019) 2, pp. 646-687

Persistent link: https://www.econbiz.de/10012033514

Earnings Announcements, Aggregate Earnings, and Individual-Firm Stock Returns : A Signal Extraction Perspective

Frederickson, James R. - 2012

There is an extensive stream of research that documents a positive association between earnings surprises and stock returns at the individual firm level. We posit that individual firms' earnings surprises have systematic and firm-specific components that differ in their persistence, implying...

Persistent link: https://www.econbiz.de/10013112277

Realized moments and the cross-sectional stock returns around earnings announcements

Wang, Qingxia; Faff, Robert W.; Zhu, Min - In: International review of economics & finance : IREF 79 (2022), pp. 408-427

Persistent link: https://www.econbiz.de/10013345667

Public audit oversight and reporting credibility : evidence from the PCAOB inspection regime

Gipper, Brandon; Leuz, Christian; Maffett, Mark - 2015

Persistent link: https://www.econbiz.de/10011349382

The asymmetric responses of aggregate earnings and stock returns to oil shocks and policy uncertainty

Kang, Wensheng - In: Asia-Pacific journal of accounting & economics : … 29 (2022) 1, pp. 97-109

Persistent link: https://www.econbiz.de/10012820818

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