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Do dividend initiations signal a reduction in risk? : evidence from the option market

Jones, Jeffrey S.; Gu, Jenny; Liu, Pu - In: Review of quantitative finance and accounting 42 (2014) 1, pp. 143-158

Persistent link: https://www.econbiz.de/10010345141

Impact of uncertainty on high frequency response of the US stock markets to the Fed's policy surprises

Marfatia, Hardik A. - In: The quarterly review of economics and finance : journal … 54 (2014) 3, pp. 382-392

Persistent link: https://www.econbiz.de/10010492635

Pricing event risk : evidence from concave implied volatility curves

Alexiou, Lykourgos; Goyal, Amit; Kostakis, Alexandros; … - 2021

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 …

Persistent link: https://www.econbiz.de/10012612931

Too good to be true? : an analysis of the options market's reactions to earnings releases

Lu, Yan; Ray, Sugata - In: Journal of business finance & accounting : JBFA 43 (2016) 7/8, pp. 830-848

Persistent link: https://www.econbiz.de/10011627641

Market-based monetary policy uncertainty

Bauer, Michael; Lakdawala, Aeimit; Mueller, Philippe - 2019

Persistent link: https://www.econbiz.de/10012057473

Impact of macroeconomic news surprises and uncertainty for major economies on returns and volatility of oil futures

Bahloul, Walid; Gupta, Rangan - In: International economics : a journal published by CEPII … 156 (2018), pp. 247-253

Persistent link: https://www.econbiz.de/10012027286

Political news and stock market reactions : evidence from Turkey over the period 2008-2017

Karime, Sleiman; Sayilir, Özlem - In: International journal of management and economics 55 (2019) 2, pp. 83-98

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...

Persistent link: https://www.econbiz.de/10012131511

Is information risk priced? : evidence from abnormal idiosyncratic volatility

Yang, Yung Chiang; Zhang, Bohui; Zhang, Chu - In: Journal of financial economics 135 (2020) 2, pp. 528-554

Persistent link: https://www.econbiz.de/10012543156

Premium for heightened uncertainty : explaining pre-announcement market returns

Hu, Grace Xing; Pan, Jun; Wang, Jiang; Zhu, Haoxiang - In: Journal of financial economics 145 (2022) 3, pp. 909-936

Persistent link: https://www.econbiz.de/10013475443

Investors' reaction under uncertainty

Kyaw, Khine; Olugbode, Mojisola; Petracci, Barbara - In: Applied economics letters 30 (2023) 17, pp. 2332-2336

Persistent link: https://www.econbiz.de/10014365767

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