Evolution of Market Uncertainty around Earnings Announcements

Dusan Isakov and Christophe Perignon ()

FAME Research Paper Series from International Center for Financial Asset Management and Engineering

Abstract: This paper investigates theoretically and empirically the dynamics of the implied volatility (or implied standard deviation - ISD) around earnings announcements dates. The volatility implied by option prices can be interpreted as the level of volatility expected by the market over the remaining life of the option. We propose a theoretical framework for the evolution of the ISD that takes into account two well-known features of the instantaneous volatility: volatility clustering and the leverage effect. In this context, the ISD should decrease after an earnings announcement but the post-announcement ISD path depends on the content of the earnings announcement: good news or bad news. An empirical investigation is conducted on the Swiss market over the period 1989-1998.

Date: 2000-06
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.swissfinanceinstitute.ch/rp15.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.swissfinanceinstitute.ch/rp15.pdf [301 Moved Permanently]--> https://www.sfi.ch/rp15.pdf [302 Found]--> https://www.sfi.ch/en/rp15.pdf)

Related works:
Journal Article: Evolution of market uncertainty around earnings announcements (2001)
Working Paper: Evolution of Market Uncertainty around Earnings Announcements (1999)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fam:rpseri:rp15

Access Statistics for this paper

More papers in FAME Research Paper Series from International Center for Financial Asset Management and Engineering Contact information at EDIRC.
Bibliographic data for series maintained by Ridima Mittal ().