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Options and earnings announcements: an empirical study of volatility, trading volume, open interest and liquidity

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  • Monique, W.M. Donders
  • Roy Kouwenberg
  • Ton, C. F. Vorst

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Bibliographic Info

Article provided by European Financial Management Association in its journal European Financial Management.

Volume (Year): 6 (2000)
Issue (Month): 2 ()
Pages: 149-171

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Handle: RePEc:bla:eufman:v:6:y:2000:i:2:p:149-171

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Cited by:
  1. Pascal Dumontier & Bernard Raffournier, 2002. "Accounting and capital markets: a survey of the European evidence," European Accounting Review, Taylor & Francis Journals, vol. 11(1), pages 119-151.
  2. Le Grand, F. & Ragot, X., 2010. "Prices and volumes of options: A simple theory of risk sharing when markets are incomplete," Working papers 302, Banque de France.
  3. Truong, Cameron & Corrado, Charles & Chen, Yangyang, 2012. "The options market response to accounting earnings announcements," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 423-450.
  4. Dušan Isakov & Christophe Pérignon, 2000. "Evolution of Market Uncertainty around Earnings Announcements," FAME Research Paper Series rp15, International Center for Financial Asset Management and Engineering.

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