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Volatility Spread and the Stock Market Response to Earnings Announcements

Lei, Qin - 2017

Using a broad sample of earnings announcements, we find that option call and put implied volatilities become increasingly misaligned as the earnings announcement dates (EAD) get closer. The percentage deviation between call and put implied volatilities increases monotonically in the one-month...

Persistent link: https://www.econbiz.de/10012972259

Attention : implied volatility spreads and stock returns

Gao, Xuechen; Wang, Xuewu; Yan, Zhipeng - In: The journal of behavioral finance : a publication of … 21 (2020) 4, pp. 385-398

Persistent link: https://www.econbiz.de/10012312341

Volatility spread and stock market response to earnings announcements

Lei, Qin; Wang, Xuewu; Yan, Zhipeng - In: Journal of banking & finance 119 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012521179

Hedge ratio on Markov regime-switching diagonal Bekk-Garch model

Zhipeng, Yan; Shenghong, Li - In: Finance research letters 24 (2018), pp. 49-55

Persistent link: https://www.econbiz.de/10011982461

Time-varying variance scaling : application of the fractionally integrated ARMA model

Chen, An-sing; Chang, Hung-Chou; Cheng, Lee-Young - In: The North American journal of economics and finance : a … 47 (2019), pp. 1-12

Persistent link: https://www.econbiz.de/10012117796

A few bad apples : an analysis of CEO performance pay and firm productivity

Bulan, Laarni; Sanyal, Paroma; Yan, Zhipeng - In: Journal of economics & business 62 (2010) 4, pp. 273-306

Persistent link: https://www.econbiz.de/10008695894

Trading frictions and consumption-output comovement

Zhao, Yan; Guo, Shen; Liu, Xingfei - In: Journal of macroeconomics 42 (2014), pp. 229-240

Persistent link: https://www.econbiz.de/10011286616