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
This thesis empirically analyzes the spread between the buying price (ask) and the selling price (bi...
This paper provides a new perspective on the informational leading role of the option market relativ...
Company related earnings announcements are the most relevant scheduled news releases regarding the f...
This paper uses option prices to learn about the equity price uncertainty surrounding information re...
This paper uses option prices to learn about the uncertainty surrounding firm fundamentals. When fir...
In this paper we give an introduction in option pricing theory and explicitly specify the Black-Scho...
Using option implied risk neutral return distributions before and after earnings announcements, we s...
This paper investigates, theoretically and empirically, the dynamic of the implied volatility (ISD) ...
We examine the relationship between firms’ quarterly earnings report timing and uncertainty before q...
153 p.Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 1986.This dissertation examines th...
This paper investigates informed trading on stock volatility in the option market. We construct non-...
This paper addresses the issue of whether investors produce more information on firms that have list...
This dissertation consists of two essays. Essay 1 proposes a rational expectations equilibrium model...
We explore whether changes in stock return skewness and kurtosis, as implied in option prices preced...
This paper utilizes the event study methodology to examine post-earnings announcement drift followin...
This thesis empirically analyzes the spread between the buying price (ask) and the selling price (bi...
This paper provides a new perspective on the informational leading role of the option market relativ...
Company related earnings announcements are the most relevant scheduled news releases regarding the f...
This paper uses option prices to learn about the equity price uncertainty surrounding information re...
This paper uses option prices to learn about the uncertainty surrounding firm fundamentals. When fir...
In this paper we give an introduction in option pricing theory and explicitly specify the Black-Scho...
Using option implied risk neutral return distributions before and after earnings announcements, we s...
This paper investigates, theoretically and empirically, the dynamic of the implied volatility (ISD) ...
We examine the relationship between firms’ quarterly earnings report timing and uncertainty before q...
153 p.Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 1986.This dissertation examines th...
This paper investigates informed trading on stock volatility in the option market. We construct non-...
This paper addresses the issue of whether investors produce more information on firms that have list...
This dissertation consists of two essays. Essay 1 proposes a rational expectations equilibrium model...
We explore whether changes in stock return skewness and kurtosis, as implied in option prices preced...
This paper utilizes the event study methodology to examine post-earnings announcement drift followin...
This thesis empirically analyzes the spread between the buying price (ask) and the selling price (bi...
This paper provides a new perspective on the informational leading role of the option market relativ...
Company related earnings announcements are the most relevant scheduled news releases regarding the f...