Option Pricing of Earnings Announcement Risks
| Autor: | Andreas Kaeck, Norman Seeger, Andrew Dubinsky, Michael Johannes |
|---|---|
| Přispěvatelé: | Finance |
| Rok vydání: | 2018 |
| Předmět: |
Economics and Econometrics
Earnings announcements 050208 finance Earnings anticipated uncertainty 05 social sciences Equity (finance) SDG 8 - Decent Work and Economic Growth Implied volatility HG Valuation of options Accounting Return volatility 0502 economics and business Econometrics Economics 050207 economics Volatility (finance) HG0106 equity options implied volatility Finance |
| Zdroj: | The Review of Financial Studies, 32(2), 646-687. Oxford University Press Dubinsky, A, Johannes, M, Kaeck, A & Seeger, N J 2019, ' Option pricing of earnings announcement risks ', The Review of Financial Studies, vol. 32, no. 2, pp. 646-687 . https://doi.org/10.1093/rfs/hhy060 |
| ISSN: | 1465-7368 0893-9454 |
| DOI: | 10.1093/rfs/hhy060 |
| Popis: | 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 about 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. |
| Databáze: | OpenAIRE |
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