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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
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Accounting for earnings announcements in the pricing of equity options
Leung, Tim; Santoli, Marco - In: Journal of financial engineering 1 (2014) 4, pp. 1-46
Persistent link: https://www.econbiz.de/10010508746
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Measuring risk information
Smith, Kevin; So, Eric - 2020
We develop a measure of how information events impact investors' perceptions of risk that is broadly applicable and simple to implement. We derive this measure from an option-pricing model where investors anticipate an announcement that simultaneously conveys information on the announcer's...
Persistent link: https://www.econbiz.de/10012244502
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The earnings announcement premium around the globe
Barber, Brad M.; George, Emmanuel T. de; Lehavy, Reuven; … - In: Journal of financial economics 108 (2013) 1, pp. 118-138
Persistent link: https://www.econbiz.de/10009746553
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On guidance and volatility
Billings, Mary Brooke; Jennings, Robert H.; Lev, Baruch - In: Journal of accounting & economics 60 (2015) 2/3, pp. 161-180
Persistent link: https://www.econbiz.de/10011437528
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Volatility Spreads and Earnings Announcement Returns
Atilgan, Yigit - 2015
Prior research documents that volatility spreads predict stock returns. If the trading activity of informed investors … is an important driver of volatility spreads, then the predictability of stock returns should be more pronounced during … major information events. This paper investigates whether the predictability of equity returns by volatility spreads is …
Persistent link: https://www.econbiz.de/10013039227
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How Information Transmits to Equity Markets : Earnings Announcements and Volatility
Gerlach, Jeffrey R. - 2010
find on a daily basis, an abnormally high volatility only within one day following the overnight announcement. On an … intraday basis, a striking volatility spike stands out during the overnight period, implying that the earnings news is fully … reflected in the opening price. The continued high volatility during the first several minutes of trading seems to be driven by …
Persistent link: https://www.econbiz.de/10013146836
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Increased market response to earnings announcements in the 21st century : an empirical investigation
Beaver, William H.; McNichols, Maureen; Wang, Zach Z. - In: Journal of accounting & economics 69 (2020) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10012237548
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The information content of earnings announcements : new insights from intertemporal and cross-sectional behavior
Beaver, William H.; McNichols, Maureen; Wang, Zach Z. - In: Review of accounting studies 23 (2018) 1, pp. 95-135
Persistent link: https://www.econbiz.de/10011848281
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Increased information content of earnings announcements in the 21st century : an empirical investigation
Beaver, William H.; McNichols, Maureen; Wang, Zach Z. - 2018
We examine the role of concurrent information in the striking increase in investor response to earnings announcements from 2001 to 2016, as measured by return variability and volume following Beaver (1968). We find management guidance, analyst forecasts, and disaggregated financial statement...
Persistent link: https://www.econbiz.de/10011873121