This study examines the effect of options trading on the January effect in the period 1996-2009. The options market offers investors an alternative trading venue that circumvents several trading limitations in the equity market and hence enables a higher level of arbitrage activities. In a...

We investigate the prevalence of informed options trading prior to takeover announcements, when the legal prohibition against insider trading is strictest. Although insider trading laws apply equally to the options and stock markets, the options market is considerably more transparent than the...

We document a significant positive relation between earnings announcement idiosyncratic volatility and stock returns in the 10-day window before future earnings announcements. The average of risk-adjusted return differences between stocks with the highest earnings announcement idiosyncratic...

This paper introduces a new proxy for expected value-relevant earnings: the most optimistic (pessimistic) forecast of earnings that is higher (lower) than the median of all analysts' earnings forecasts over the 90 days prior to the earnings announcement when the median falls short of (exceeds)...

This paper investigates the effectiveness of momentum strategies for equities listed on the Vietnam Stock Exchange. It also investigates the roles of trading volume and price limits to examine the profitability of momentum strategies. Our paper finds evidence of significant momentum profits...

In recent period, earnings announcement time is relatively invariable for a firm. There is evidence of strong preference to a certain time outside trading hours for earnings disclosure. Using firm specific regressions, I show that earnings response coefficient (ERCs) differ across firms....

This paper investigates the effectiveness of momentum strategies for equities listed on the Vietnam Stock Exchange. It also investigates the roles of trading volume and price limits to examine the profitability of momentum strategies. Our paper finds evidence of significant momentum profits...

Over the last 2 decades after-hours earnings announcements have become more prevalent, resulting in a shift in earnings-related price changes from the announcement date to the next trading day. We highlight three aspects relevant for event studies around earnings announcements. First, daily...

This paper examines the impact of carbon risk on firms' financing costs. We exploit the Kyoto Protocol ratification (hereafter KPR) committed by the Australian government in December 2007 as an exogenous increase in carbon risk. We find that, in the post-KPR period, firms with high carbon...