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prior to the earnings announcement day (EAD) reflecting a bimodal risk-neutral distribution for the underlying stock price …-ante option-based signal for event risk in the underlying stock. Returns on delta-neutral straddles around EADs are significantly … lower in the presence of concave IV curves, showing that investors pay a high premium to hedge against this event risk …
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The primary objective of the study is to examine the impact of political news (good and bad news) on the returns and volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main sample was divided into two subperiods to insulate the...
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