Option-implied Tail Risk and Stock Returns Around Earnings Announcements

2018 ◽  
Author(s):  
Mengxi (Maggie) Liu ◽  
Kam Fong Chan ◽  
Robert W. Faff
Keyword(s):  
Stock Returns ◽  
Earnings Announcements ◽  
Tail Risk

scholarly journals Caught on tape: Institutional trading, stock returns, and earnings announcements

2009 ◽  
Vol 92 (1) ◽  
pp. 66-91 ◽  
Author(s):  
John Y. Campbell ◽  
Tarun Ramadorai ◽  
Allie Schwartz
Keyword(s):  
Stock Returns ◽  
Earnings Announcements ◽  
Institutional Trading

scholarly journals Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

2014 ◽  
Vol 4 (2) ◽  
pp. 206-246 ◽  
Author(s):  
Turan G. Bali ◽  
Nusret Cakici ◽  
Robert F. Whitelaw
Keyword(s):  
Stock Returns ◽  
Tail Risk ◽  
Expected Stock Returns

scholarly journals Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy

2017 ◽  
Vol 15 (3) ◽  
pp. 505-506
Author(s):  
Dobrislav Dobrev ◽  
Ernst Schaumburg
Keyword(s):  
Stock Returns ◽  
Tail Risk

scholarly journals Quarterly Earnings Announcement Effect on Stock Return and Trading Volume in Nepal

2019 ◽  
Vol 4 ◽  
pp. 32-47
Author(s):  
Jeetendra Dangol ◽  
Ajay Bhandari
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Trading Volume ◽  
Earnings Announcements ◽  
Good News ◽  
Fiscal Year ◽  
Event Analysis ◽  
Earnings Announcement ◽  
Quarterly Earnings ◽  
Analysis Methodology

The study examines the stock returns and trading volume reaction to quarterly earnings announcements using the event analysis methodology. Ten commercial banks with 313 earnings announcements are considered between the fiscal year 2010/11 and 2017/18. The observations are portioned into 225 earning-increased (good-news) sub-samples and 88 earning-decreased (bad-news) sub-samples. This paper finds that the Nepalese stock market is inefficient at a semi-strong level, but there is a strong linkage between quarterly earnings announcement and trading volume. Similarly, the study provides evidence of existence of information content hypothesis in the Nepalese stock market.

Asymmetric Timeliness and the Resolution of Investor Disagreement and Uncertainty at Earnings Announcements

2019 ◽  
Vol 95 (4) ◽  
pp. 23-50 ◽  
Author(s):  
Mary E. Barth ◽  
Wayne R. Landsman ◽  
Vivek Raval ◽  
Sean Wang
Keyword(s):  
Stock Returns ◽  
Earnings Announcements ◽  
Investment Decisions ◽  
Bad News ◽  
Positive Relation ◽  
Potential Cost ◽  
Earnings Announcement ◽  
Asymmetric Timeliness ◽  
Valuation Uncertainty ◽  
Investor Disagreement

ABSTRACT This study finds that greater asymmetric timeliness of earnings in reflecting good and bad news is associated with slower resolution of investor disagreement and uncertainty at earnings announcements. These findings indicate that a potential cost of asymmetric timeliness is added complexity from requiring investors to disaggregate earnings into good and bad news components to assess the implications of the earnings announcement for their investment decisions. Such a disaggregation impedes the speed with which investor disagreement and uncertainty resolve. The findings indicate that asymmetric timeliness also delays price discovery at earnings announcements. We also find a positive relation between asymmetric timeliness and stock returns during the earnings announcement period after the initial price reaction to the announcement, which is consistent with resolution of valuation uncertainty. However, we do not find clear evidence of more net stock purchases during this period by insiders of firms with greater asymmetric timeliness. JEL Classifications: M41; G14.

Sign in / Sign up

Export Citation Format

Share Document