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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

Does the information content of payout initiations and omissions influence firm risks?

Eije, Johan H. von; Goyal, Abhinav; Muckley, Cal - In: Journal of econometrics 183 (2014) 2, pp. 222-229

Persistent link: https://www.econbiz.de/10010506054

Does the information content of payout initiations and omissions influence firm risks?

von Eije, Henk; Goyal, Abhinav; Muckley, Cal B. - In: Journal of Econometrics 183 (2014) 2, pp. 222-229

We study the influence on firm risks of NASDAQ and NYSE firm payout initiations and omissions. These payout events can … estimate the effect of the information content of actual initiations and omissions on firm risks. We find consistent … significant declines in total, aggregate systematic, and idiosyncratic firm risks after cash dividend initiations and increases …

Persistent link: https://www.econbiz.de/10011077594

Macroeconomic Announcements and Volatility of Treasury Futures

Engle, Robert F - Department of Economics, University of California-San … - 1998

has lower persistence than non-announcement-day volume. No statistically significant risk premium manifests on the release …

Persistent link: https://www.econbiz.de/10010536375

Lessons from estimating the average option-implied volatility term structure for the Spanish banking sector

González Pérez, María Teresa

industry (SBVX) using the implied volatility of individual banks and assuming market correlation risk premium. This methodology … correlation risk premium to monitor uncertainty and returns in the banking sector and foresee periods of stress in this industry …, volatility, and risk. …

Persistent link: https://www.econbiz.de/10012616875

Demand-Based Option Pricing

Garleanu, Nicolae Bogdan; Pedersen, Lasse Heje; … - C.E.P.R. Discussion Papers - 2005

We model the demand-pressure effect on prices when options cannot be perfectly hedged. The model shows that demand pressure in one option contract increases its price by an amount proportional to the variance of the unhedgeable part of the option. Similarly, the demand pressure increases the...

Persistent link: https://www.econbiz.de/10005067592

Accounting quality, information risk and implied volatility around earnings announcements

Anagnostopoulou, Seraina C.; Tsekrekos, Andrianos E. - In: Journal of international financial markets, … 34 (2015), pp. 188-207

Persistent link: https://www.econbiz.de/10011474512

Pricing Poseidon : extreme weather uncertainty and firm return dynamics

Kruttli, Mathias S.; Roth Tran, Brigitte; Watugala, … - 2019

Persistent link: https://www.econbiz.de/10012102573

The role of political uncertainty in Australian financial markets

Smales, Lee A. - In: Accounting and finance : journal of the Accounting … 56 (2016) 2, pp. 545-575

Persistent link: https://www.econbiz.de/10011585993

Option data, missing tails, and the intraday variation of implied moments

Ivanovas, Anselm - 2015

The risk-neutral distribution of returns, implied by S&P 500 option prices, has been a popular topic of research for … many years. Because of its forward-looking nature, it gives valuable insights into the expectation and risk attitude of …

Persistent link: https://www.econbiz.de/10010510195

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