Option pricing of earnings announcement risks

التفاصيل البيبلوغرافية
العنوان:	Option pricing of earnings announcement risks
المؤلفون:	Andrew Dubinsky, Michael Johannes, Andreas Kaeck, Norman J Seeger
سنة النشر:	2019
المجموعة:	University of Sussex (US): Figshare
مصطلحات موضوعية:	Uncategorised value
الوصف:	This paper uses option prices to learn about the equity price uncertainty surrounding information released on earnings announcement dates. To do this, we introduce reduced-form models and estimators to separate price uncertainty regarding earnings announcements from normal day-to-day volatility. Empirically, we find strong support for the importance of earnings announcements. We find that the anticipated price uncertainty is quantitatively large, varies across time, and is informative about the future return volatility. Finally, we quantify the impact of earnings announcements on formal option pricing models.
نوع الوثيقة:	article in journal/newspaper
اللغة:	unknown
Relation:	10779/uos.23454023.v1; https://figshare.com/articles/journal_contribution/Option_pricing_of_earnings_announcement_risks/23454023
الاتاحة:	https://figshare.com/articles/journal_contribution/Option_pricing_of_earnings_announcement_risks/23454023
Rights:	Copyright not evaluated
رقم الانضمام:	edsbas.15A92908
قاعدة البيانات:	BASE

الوصف
الوصف غير متاح.