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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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The relative option to stock volume and market response to earnings surprises
Rai, Atul; Tartaroglu, Semih - In: Journal of accounting, auditing & finance 30 (2015) 4, pp. 431-460
Persistent link: https://www.econbiz.de/10011382639
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The Relative Option to Stock Volume (OS) and Market Response to Earnings Surprises
Rai, Atul - 2016
This study examines the effect of option volume relative to stock volume (O/S) on market response to earnings surprises. The market reaction per unit of earnings surprise is lower for firms that have high O/S prior to earnings announcement than for firms with low O/S prior to earnings...
Persistent link: https://www.econbiz.de/10013006848
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Information and opinions in financial markets
Banerjee, Snehal - 2007
Persistent link: https://www.econbiz.de/10009691380
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Economic policy uncertainty, investor attention and post-earnings announcement drift
Du, Xiuli; Ao, Zhu; Chai, Yiwei; Ge, Shilong - In: International review of financial analysis 87 (2023), pp. 1-14
Persistent link: https://www.econbiz.de/10014460448
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Anticipating jumps : Decomposition of straddle price
Chen, Bei; Quan Gan; Vasquez, Aurelio - In: Journal of banking & finance 149 (2023), pp. 1-14
Persistent link: https://www.econbiz.de/10014462382
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Forecasting S&P 500 volatility : long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements
Martens, Martin; Dijk, Dick van; Pooter, Michiel de - In: International journal of forecasting 25 (2009) 2, pp. 282-303
Persistent link: https://www.econbiz.de/10003870055
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Noise vs. news in equity returns
Chirinko, Robert S.; Foad, Hisham - 2006
fundamentals and hence the pervasive joint hypothesis quagmire. We avoid this dilemma by measuring noise volatility directly by …
Persistent link: https://www.econbiz.de/10003381609
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The semi-parametric MIDAS models and some of their applications : the impact of news on the stock volatility
Chen, Xilong - 2008
Persistent link: https://www.econbiz.de/10010248624
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A unified framework jointly explaining business conditions, stock returns, volatility and "volatility feedback news" effects
Kim, Chang-jin; Kim, Yunmi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 2, pp. 1-14
Persistent link: https://www.econbiz.de/10012054880