Author: Ki Choong Han
Publisher:
ISBN:
Category : Corporate profits
Languages : en
Pages : 318

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Author: Robert G. Rambo
Publisher:
ISBN:
Category : Corporate profits
Languages : en
Pages : 192

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Author: Qin Lei
Publisher:
ISBN:
Category :
Languages : en
Pages : 43

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Book Description
Using a broad sample of earnings announcements, we find that option call and put implied volatilities become increasingly misaligned as the earnings announcement dates (EAD) get closer. The percentage deviation between call and put implied volatilities increases monotonically in the one-month period leading up to the EAD. In addition, the direction of these deviations is consistent with the announcement returns of such earnings releases. More importantly, by adapting the earnings response coefficient (ERC) framework, we find that pre-earnings option trading actually increases rather than decreases the stock market response to the earnings announcements. In a cross section of earnings announcements, we find stronger stock market reaction from earnings announcements with greater abnormal implied volatility spread immediately before the EAD. By relating option volume to investor attention, we find higher pre-announcement option volume is associated with increased stock market response. Overall, our findings suggest that pre-earnings option trading helps alleviate the stock market under-reaction to earnings announcements and make the stock market response more complete.

Author: Benjamin Schmitt
Publisher: GRIN Verlag
ISBN: 3656972419
Category : Business & Economics
Languages : en
Pages : 57

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Bachelor Thesis from the year 2008 in the subject Business economics - Investment and Finance, grade: 1.1, EBS European Business School gGmbH (Finance), language: English, abstract: Many authors have already studied about stock price reactions after earnings announcements yet, which is because of the importance of earnings announcements, in particular quarterly earnings announcements, for many investors. However, all major studies concerning this topic deal with long-term scenarios, the stock’s price performance is measured for a time period of at least three quarters. Due to the fact that there are many investors, especially institutional investors such as hedge funds that trade stocks much more frequently, the existing studies are not relevant for them. This paper studies stock price reactions around quarterly earnings announcements for companies listed in Deutscher Aktienindex (DAX) or Midcap DAX (MDAX) with respect to changes of the company’s full-year outlook and of earnings surprise regarding analyst consensus forecast within ten days before and after the announcement date. Hence, this paper aims to analyse short-term reaction to quarterly earnings announcements, which are of relevance for all investors, whose investment strategy is, at least partially, focussing on the short-term performance. The main target group of this analysis are therefore hedge funds and investors that run short-term strategies. Due to the fact that the widespread Event Study Methodology is focused on the long-term, it is irrelevant for this analysis.

Author: John Shon
Publisher: FT Press
ISBN: 0132615851
Category : Business & Economics
Languages : en
Pages : 225

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Profit from earnings announcements, by taking targeted, short-term option positions explicitly timed to exploit them! Based on rigorous research and huge data sets, this book identifies the specific earnings-announcement trades most likely to yield profits, and teaches how to make these trades—in plain English, with real examples! Trading on Corporate Earnings News is the first practical, hands-on guide to profiting from earnings announcements. Writing for investors and traders at all experience levels, the authors show how to take targeted, short-term option positions that are explicitly timed to exploit the information in companies’ quarterly earnings announcements. They first present powerful findings of cutting-edge studies that have examined market reactions to quarterly earnings announcements, regularities of earnings surprises, and option trading around corporate events. Drawing on enormous data sets, they identify the types of earnings-announcement trades most likely to yield profits, based on the predictable impacts of variables such as firm size, visibility, past performance, analyst coverage, forecast dispersion, volatility, and the impact of restructurings and acquisitions. Next, they provide real examples of individual stocks–and, in some cases, conduct large sample tests–to guide investors in taking advantage of these documented regularities. Finally, they discuss crucial nuances and pitfalls that can powerfully impact performance.

Author: Thomas Rodney Noland
Publisher:
ISBN:
Category : Investment analysis
Languages : en
Pages : 220

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Author: VICTOR L. BERNARD
Publisher:
ISBN:
Category :
Languages : en
Pages : 44

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Author: Earl Kay Stice
Publisher:
ISBN:
Category : Corporation reports
Languages : en
Pages : 286

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Author: R. Christopher Small
Publisher:
ISBN:
Category : Financial statements
Languages : en
Pages : 54

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Book Description
I examine the effect analysts have on the price response to earnings announcements. To address this question, I exploit an exogenous shock to analyst coverage to show that, following the loss of an analyst, the market reaction to earnings announcements decreases. In cross-sectional analyses, I show that the magnitude of the negative effect is decreasing in information asymmetry and the likelihood that a firm’s earnings are used more for contracting purposes. I further show that the magnitude of the negative effect is increasing in the readability of the financial statements and financial reporting comparability. This study contributes to the literature by providing a deeper understanding of the effect analysts have on the pricing of information contained in earnings announcements. As such, the results of this study should be of interest to regulators, researchers, and investors.

Author: K. R. Subramanyam
Publisher:
ISBN:
Category :
Languages : en
Pages : 314

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