The Behavior of Option Implied Standard Deviations around Merger and Acquisition Announcements
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- repec:eee:eneeco:v:71:y:2018:i:c:p:62-69 is not listed on IDEAS
- Isakov, Dusan & Perignon, Christophe, 2001.
"Evolution of market uncertainty around earnings announcements,"
Journal of Banking & Finance,
Elsevier, vol. 25(9), pages 1769-1788, September.
- Isakov, D. & Perignon, C., 1999. "Evolution of Market Uncertainty around Earnings Announcements," Papers 99.12, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
- 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.
- Arnold, Tom & Erwin, Gayle & Nail, Lance & Nixon, Terry, 2006. "Do option markets substitute for stock markets? Evidence from trading on anticipated tender offer announcements," International Review of Financial Analysis, Elsevier, vol. 15(3), pages 247-255.
- Delisle, R. Jared & Lee, Bong Soo & Mauck, Nathan, 2012. "The dynamic relation between short sellers, option traders, and aggregate returns," MPRA Paper 42566, University Library of Munich, Germany.
- Geppert, Gero & Kamerschen, David R., 2008. "The effect of mergers on implied volatility of equity options," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 330-344.
- Hutson, Elaine & Kearney, Colm, 2005. "Merger arbitrage and the interaction between target and bidder stocks during takeover bids," Research in International Business and Finance, Elsevier, vol. 19(1), pages 1-26, March.
- Bos, Martijn & Demirer, Riza & Gupta, Rangan & Tiwari, Aviral Kumar, 2018.
"Oil returns and volatility: The role of mergers and acquisitions,"
Elsevier, vol. 71(C), pages 62-69.
- Martijn Bos & Riza Demirer & Rangan Gupta & Aviral Kumar Tiwari, 2017. "Oil Returns and Volatility: The Role of Mergers and Acquisitions," Working Papers 201775, University of Pretoria, Department of Economics.
- Robert F. Engle & Martin Klint Hansen & Asger Lunde, 2012. "And Now, The Rest of the News: Volatility and Firm Specific News Arrival," CREATES Research Papers 2012-56, Department of Economics and Business Economics, Aarhus University.
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