|
|||||
|
|
The options market response to accounting earnings announcements |
|
| Authors: | Cameron Truong Charles Corrado Yangyang Chen |
| Affiliation: | 1. Monash University, Australia;2. Corrado Consultancy;1. DRM Finance, University Paris Dauphine, Place du Maréchal de Lattre de Tassigny, 75775 Paris Cedex 16, France;2. IPAG Business School (IPAG Lab), 184 Boulevard Saint-Germain, 75006 Paris, France;1. MA of Accounting, Islamic Azad University, Science and Research Branch, Department of Accounting, 34185- 1416, Qazvin, Iran;2. MA of Accounting, Islamic Azad University, Science and Research Branch, Department of Accounting, 81551- 39998, Isfehan, Iran;3. MA of Accounting, Islamic Azad University, Science and Research Branh, Department of Accounting, 35131- 19111, Semnan, Iran |
| Abstract: | We examine the reaction of the equity options market to accounting earnings announcements over the period 1996–2008 using changes in implied volatility to measure the options market response to earnings news. We find that positive earnings surprises and positive profit announcements produce a larger uncertainty resolution than negative earnings surprises and loss announcements. We demonstrate an inverse relation between the change in implied volatility and earnings news in a three-day window immediately after an earnings announcement. We refer to the magnitude of this relation as the ‘options market earnings response coefficient’. This ‘options market earnings response coefficient’ is stronger for both bad news announcements and positive profit announcements. We do not find any significant relation between changes in implied volatility and earnings news in the pre- or post-announcement periods. We conclude that the options market efficiently absorbs earnings information. |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ | |