 Evolution of Market Uncertainty around Earnings AnnouncementsDusan Isakov and Christophe Perignon () Working Papers from Ecole des Hautes Etudes Commerciales, Universite de Geneve- Abstract: This paper investigates, theoretically and empirically, the dynamic of the implied volatility (ISD) around earnings announcements dates. The volatility implied in option prices can be interpreted as the market's expected level of volatility over the remaining life of the option. In this framework the paper proposes a theoretical model of the evolution of the ISD that takes into accound two well-known features of the instantaneous volatility: volatility clustering and the leverage effect. The model indicates that the ISD should decrease after an earnings announcement except after a bad news where it should be stable or even increase. An empirical investigation is conducted on the Swiss market over the period 1989-1998.The results confirm the main implications of the theoretical model. Keywords: UNCERTAINTY; INCOME; FINANCIAL MARKET (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:fth:ehecge:99.12 Access Statistics for this paper More papers in Working Papers from Ecole des Hautes Etudes Commerciales, Universite de Geneve- Suisse; Ecole des Hautes Etudes Commerciales, Universite de Geneve, faculte des SES. 102 Bb. Carl-Vogt CH - 1211 Geneve 4, Suisse. Contact information at EDIRC. |
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