expected earnings shock and its volatility, and establish properties of investor behavior on the stock price and its volatility … during financial crises and subsequent recovery. Thereafter, we develop properties to explain excess volatility, short …

Stocks with low return volatility have high risk-adjusted returns, which might be driven by low media attention for … volatility effect for a sample of international stocks over the period 2001 to 2018. A low-volatility effect is still present for … stocks with high media attention. Among stocks with high volatility, the amount of media attention is not associated with …

. We find positive straddle returns are more pronounced for smaller firms, firms with higher volatility, higher kurtosis …

While many studies analyze the impact of scheduled macroeconomic announcements on equity market volatility, few focus … events and the implied volatility indices VDAX and VIX. We find that both indices fall on announcement days, with the … strongest reactions occurring during the financial crisis from 2008 to 2009. Further, we identify a volatility spillover effect …

We document a significant positive relation between earnings announcement idiosyncratic volatility and stock returns in … with the highest earnings announcement idiosyncratic volatility and stocks with the lowest earnings announcement … idiosyncratic volatility exceeds 100 basis points in the 10 days leading up to the earnings announcements. The pricing of earnings …

on the expected earnings shock and its volatility and establish some properties of investors' behavior on the stock price … and its volatility during a financial crisis and subsequent recovery. Thereafter, we develop properties to explain excess … volatility, short-term underreaction, long-term overreaction, and their magnitude effects during a normal financial situation as …

We provide evidence that an option implied volatility-based measure predicts future absolute excess returns of the … return volatility shortly before these information events, and the volatility of excess stock returns around these two events …, and also trade on the expected volatility. In addition, we show that net straddle returns (after transaction costs) around …