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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
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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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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/10012999625
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Avoiding idiosyncratic volatility : flow sensitivity to individual stock returns
Di Maggio, Marco; Franzoni, Francesco; Kogan, Shimon; … - 2023
Persistent link: https://www.econbiz.de/10014483227
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Short selling and firm operating performance
Deshmukh, Sanjay; Gamble, Keith Jacks; Howe, Keith M. - In: Financial management 44 (2015) 1, pp. 217-236
Persistent link: https://www.econbiz.de/10011347981
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Levered returns
Welch, Ivo - 2016
Persistent link: https://www.econbiz.de/10011460520
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Revisiting the effect of crude oil price movements on US stock market returns and volatility
Sonenshine, Ralph; Cauvel, Michael - In: Modern economy 8 (2017) 5, pp. 753-769
Persistent link: https://www.econbiz.de/10011695425
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Information and opinions in financial markets
Banerjee, Snehal - 2007
Persistent link: https://www.econbiz.de/10009691380
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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
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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