Truong, Cameron; Corrado, Charles; Chen, Yangyang - In: Journal of International Financial Markets, … 22 (2012) 3, pp. 423-450
We examine the reaction of the equity options market to accounting earnings announcements over the period 1996–2008 using changes in implied volatility to measure the options market response to earnings news. We find that positive earnings surprises and positive profit announcements produce a...