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Option Pricing of Earnings Announcement Risks

Citations

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Cited by:

  1. Srivastava, Pranjal & Jacob, Joshy, 2022. "Risk information - normal markets and the COVID-19 pandemic period," IIMA Working Papers WP 2022-10-02, Indian Institute of Management Ahmedabad, Research and Publication Department.
  2. Federico M. Bandi & Nicola Fusari & Guido Gazzani & Roberto Ren`o, 2026. "Ultra-short-term volatility surfaces," Papers 2603.29430, arXiv.org.
  3. Chen, Bei & Gan, Quan & Vasquez, Aurelio, 2023. "Anticipating jumps: Decomposition of straddle price," Journal of Banking & Finance, Elsevier, vol. 149(C).
  4. Vo, Michael, 2026. "Priced to Perfection? Subjective Expectations in Financial Markets," Other publications TiSEM db4f8097-275c-44bc-9e72-7, Tilburg University, School of Economics and Management.
  5. Darsh Kachhara & John K. E Markin & Astha Singh, 2023. "Option Smile Volatility and Implied Probabilities: Implications of Concavity in IV Curves," Papers 2307.15718, arXiv.org, revised Nov 2023.
  6. Christensen, Kim & Timmermann, Allan & Veliyev, Bezirgen, 2025. "Warp speed price moves: Jumps after earnings announcements," Journal of Financial Economics, Elsevier, vol. 167(C).
  7. Li, Yubin & Zhao, Chen & Zhong, Zhaodong, 2019. "Price discrimination against retail Investors: Evidence from mini options," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 50-64.
  8. Crego, Julio A., 2020. "Why does public news augment information asymmetries?," Journal of Financial Economics, Elsevier, vol. 137(1), pages 72-89.
  9. Derek Lemoine & Sarah Kapnick, 2024. "Financial markets value skillful forecasts of seasonal climate," Nature Communications, Nature, vol. 15(1), pages 1-10, December.
  10. An N. Q. Cao & Michel A. Robe, 2022. "Market uncertainty and sentiment around USDA announcements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(2), pages 250-275, February.
  11. Crego, Julio & Gider, Jasmin, 2024. "The dynamic informativeness of scheduled news," Other publications TiSEM d4538ed2-3aeb-4259-b1f1-2, Tilburg University, School of Economics and Management.
  12. Rebecca N. Hann & Heedong Kim & Yue Zheng, 2019. "Intra-industry information transfers: evidence from changes in implied volatility around earnings announcements," Review of Accounting Studies, Springer, vol. 24(3), pages 927-971, September.
  13. Suresh Govindaraj & Yubin Li & Chen Zhao, 2020. "The effect of option transaction costs on informed trading in the options market around earnings announcements," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 47(5-6), pages 615-644, May.
  14. Chen, Ding & Guo, Biao & Zhou, Guofu, 2023. "Firm fundamentals and the cross-section of implied volatility shapes," Journal of Financial Markets, Elsevier, vol. 63(C).
  15. David Weinbaum & Andrew Fodor & Dmitriy Muravyev & Martijn Cremers, 2023. "Option Trading Activity, News Releases, and Stock Return Predictability," Management Science, INFORMS, vol. 69(8), pages 4810-4827, August.
  16. Thaddeus Neururer, 2020. "Past managerial guidance and returns to variance trading around earnings announcements," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(3), pages 2995-3031, September.
  17. Yasser Alhenawi & M. Kabir Hassan, 2023. "How do investors price accrual risk during crises?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4684-4706, October.
  18. Dorn, Daniel & Strobl, Günter, 2023. "Rational disposition effects: Theory and evidence," Journal of Banking & Finance, Elsevier, vol. 153(C).
  19. Diersen, Matthew & Wang, Zhiguang, 2023. "Implied Volatility Patterns Around Crop Reports," 2023 Conference, April 24-25, 2023, St. Louis, Missouri 379021, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  20. Tom Adams & Thaddeus Neururer, 2022. "Earnings announcement saliency and option trading," Review of Financial Economics, John Wiley & Sons, vol. 40(1), pages 44-62, January.
  21. Zdeněk Drábek & Miloš Kopa & Matúš Maciak & Michal Pešta & Sebastiano Vitali, 2023. "Investment disputes and their explicit role in option market uncertainty and overall risk instability," Computational Management Science, Springer, vol. 20(1), pages 1-25, December.
  22. Chao Gao & Grace Xing Hu & Xiaoyan Zhang, 2026. "Uncertainty Risk Resolution Before Earnings Announcements," Management Science, INFORMS, vol. 72(3), pages 1835-1857, March.
  23. Sobhesh Kumar Agarwalla & Sumit Saurav & Jayanth R. Varma, 2022. "Lottery and bubble stocks and the cross‐section of option‐implied tail risks," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(2), pages 231-249, February.
  24. Julio A. Crego & Jasmin Gider, 2024. "The Dynamic Informativeness of Scheduled News," Management Science, INFORMS, vol. 70(10), pages 6724-6739, October.
  25. Ramachandran, Lakshmi Shankar & Tayal, Jitendra, 2021. "Mispricing, short-sale constraints, and the cross-section of option returns," Journal of Financial Economics, Elsevier, vol. 141(1), pages 297-321.
  26. Wang, Xi & Gao, Chao & Wang, Tianfu, 2024. "The price of firm-level information uncertainty," Finance Research Letters, Elsevier, vol. 67(PA).
  27. Augustin, Patrick & Brenner, Menachem & Grass, Gunnar & Orłowski, Piotr & Subrahmanyam, Marti G., 2023. "Informed options strategies before corporate events," Journal of Financial Markets, Elsevier, vol. 63(C).
  28. Tom Adams & Thaddeus Neururer, 2020. "Earnings announcement timing, uncertainty, and volatility risk premiums," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(10), pages 1603-1630, October.
  29. Byounghyun Jeon & Sung Won Seo & Jun Sik Kim, 2020. "Uncertainty and the volatility forecasting power of option‐implied volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(7), pages 1109-1126, July.
  30. Zhanyu Chen & Kai Zhang & Hongbiao Zhao, 2022. "A Skellam market model for loan prime rate options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 525-551, March.
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