Earnings Surprise and Ex-ante Price Effects in Options Markets PDF Download

Author: Jin-kyu Joo
Publisher:
ISBN:
Category : Dividends
Languages : en
Pages : 202

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Book Description

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

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Book Description
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: James M. Patell
Publisher:
ISBN:
Category : Stock price forecasting
Languages : en
Pages : 45

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Book Description

Author: Ping Zhou
Publisher: FT Press
ISBN: 0132947404
Category : Business & Economics
Languages : en
Pages : 258

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Book Description
By trading on corporate earnings, investors can reliably profit in both up and down markets, while avoiding market risk for nearly the entire quarter. In this book, two leading traders and portfolio managers present specific, actionable techniques anyone can use to capture these sizable profits. Ping Zhou and John Shon have performed an unprecedented empirical analysis of thousands of stocks, reviewing tens of millions of data points associated with option prices, earnings announcement returns, and fundamentals. Their massive analysis has identified consistent opportunities associated with focusing on the magnitude of the market’s reaction to earnings, not its direction. Option Trading Set-Ups for Corporate Earnings News offers concrete guidance for improving the likelihood of making correct forecasts, and managing the risks of incorrect forecasts. It introduces several ways to exploit option trading opportunities around earnings news, discuss crucial issues that most retail investors haven’t considered, and explore aspects of earnings-related option trading that have never been empirically examined and documented before. For example, they identify hidden patterns and potential opportunities based on valuation, industry, volatility, analyst forecasts, seasonality, and trades that immediately follow earnings announcements. Simply put, trading on earnings reports offers immense profit opportunities, if you know how. This book provides incontrovertible facts and detailed strategies, not just theories and anecdotes!

Author: Donald H. Fehrs
Publisher:
ISBN:
Category :
Languages : en
Pages : 19

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Book Description
Numerous articles over the past few decades have documented a consistent relationship between earnings surprises and subsequent stock price performance. [See, for example, Ball and Brown (1968), Rendleman, Jones, and Latane (1982), Foster, Olsen, and Shevlin (1984), and Bernard and Thomas (1989).] Specifically when firms announce quarterly earnings figures that are higher (lower) than market expectations, as proxied by either mechanical time-series models or commercially available analysts forecasts, the stock price performance following the announcement tends to be abnormally good (bad). This phenomenon is referred to as post-earnings-announcement drift or the standardized unexpected earnings effect, SUE for short.

Author: Sunyoung Kim
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

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Book Description
We examine the effect of option listing on the stock-price response to quarterly earnings announcements. We find that option trading reduces the magnitude of the pre-earnings announcement drift. We also present evidence that firms with options exhibit more intensive price reactions to earnings news than firms without options. In addition, we show that the magnitude of the post-earnings announcement drift is smaller for option firms than non-option firms. These results suggest that the existence of traded options increases the speed of stock price adjustment. Overall, our results reinforce the notion that option listing improves the informational efficiency in equity markets. In addition, our results are consistent with the view that transactions costs cause a delayed price response in the post-earnings announcement period.

Author: Mary Brooke Billings
Publisher:
ISBN:
Category :
Languages : en
Pages : 47

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Book Description
We exploit information in option prices in order to study whether the ex post responsiveness of tock prices to earnings information is reflected from an ex ante, firm- and quarter-specific perspective. Specifically, we develop a measure of anticipated information content (AIC) that isolates the forecasted magnitude of the stock market's reaction to earnings information. We find that the AIC positively correlates with the ex post magnitude of the stock market sensitivity to unexpected earnings, increases with earnings persistence, firm growth prospects, the richness of firms' information environments and the presence of (and changes in) sophisticated ownership, and decreases with discount rates. Our paper sheds light on the role that earnings information plays in shaping option-market behavior and offers researchers an option-market approach to studying the responsiveness of stock prices to earnings information.

Author: Atul Rai
Publisher:
ISBN:
Category :
Languages : en
Pages : 51

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Book Description
This study examines the effect of option volume relative to stock volume (O/S) on market response to earnings surprises. The market reaction per unit of earnings surprise is lower for firms that have high O/S prior to earnings announcement than for firms with low O/S prior to earnings announcement. The difference is exacerbated for higher levels of preannouncement returns. Results suggest informed trading by option traders stimulates preemption of the information content of earnings releases and makes earnings surprises less of a surprise. Overall, results are consistent with the view that options improve informational efficiency. Results are robust to several controls.

Author:
Publisher:
ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 576

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Book Description

Author: Euan Sinclair
Publisher: John Wiley & Sons
ISBN: 1119583519
Category : Business & Economics
Languages : en
Pages : 246

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Book Description
A detailed, one-stop guide for experienced options traders Positional Option Trading: An Advanced Guide is a rigorous, professional-level guide on sophisticated techniques from professional trader and quantitative analyst Euan Sinclair. The author has over two decades of high-level option trading experience. He has written this book specifically for professional options traders who have outgrown more basic trading techniques and are searching for in-depth information suitable for advanced trading. Custom-tailored to respond to the volatile option trading environment, this expert guide stresses the importance of finding a valid edge in situations where risk is usually overwhelmed by uncertainty and unknowability. Using examples of edges such as the volatility premium, term-structure premia and earnings effects, the author shows how to find valid trading ideas and details the decision process for choosing an option structure that best exploits the advantage. Advanced topics include a quantitative approach for directionally trading options, the robustness of the Black Scholes Merton model, trade sizing for option portfolios, robust risk management and more. This book: Provides advanced trading techniques for experienced professional traders Addresses the need for in-depth, quantitative information that more general, intro-level options trading books do not provide Helps readers to master their craft and improve their performance Includes advanced risk management methods in option trading No matter the market conditions, Positional Option Trading: An Advanced Guide is an important resource for any professional or advanced options trader.