 Price delay and post-earnings announcement drift anomalies: The role of option-implied betasHwai-Chung Ho and Wei-Che Tsai The North American Journal of Economics and Finance, 2020, vol. 54, issue C Abstract: In this study, we used informational advantage in the options market to investigate whether the option-implied equity risk developed by Chen, Chung, and Tsai (2016) - viewed as a type of time-varying beta - can help explain both the Hou and Moskowitz (2005) price delay premium and post-earnings announcement drift (PEAD). Our empirical results revealed a clear association between quintile portfolios with greater price delay premiums and higher option-implied betas, while the Fama-MacBeth regressions showed that the implied betas are positively related to future delay-based portfolio returns. Regarding the PEAD, we discerned a general increase in the mean of portfolio option-implied betas with standardized unexpected earnings portfolio drift. Our regression results support the notion that a portfolio’s PEAD can be viewed as compensation for the variations in option-implied betas. Keywords: Equity risk; Option-implied betas; Price delay; Earnings momentum (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818300330 DOI: 10.1016/j.najef.2018.07.005 Access Statistics for this article The North American Journal of Economics and Finance is currently edited by Hamid Beladi More articles in The North American Journal of Economics and Finance from Elsevier |
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