Implied Standard Deviations and Post‐earnings Announcement Volatility
Journal of Business Finance & Accounting, 2002, vol. 29, issue 3‐4, 429-456
This paper investigates volatility increases following annual earnings announcements. Standard deviations implied by options prices are used to show that announcements of bad news result in a lower volatility increase than those of good news, and delay the increase by a day. Reports that are difficult to interpret also delay the volatility increase. This delay is incremental to that caused by reporting bad news, although the effect of bad news on slowing down the reaction time is dominant. It is argued that the delays reflect market uncertainty about the implications of the news.
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jbfnac:v:29:y:2002:i:3-4:p:429-456
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Journal of Business Finance & Accounting is currently edited by P. F. Pope, A. W. Stark and M. Walker
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