Author: Robert G. RamboPublisher:
ISBN:
Category : Corporate profits
Languages : en
Pages : 192
Book Description
Market Response to Earnings Announcements
Author: Ki Choong HanPublisher:
ISBN:
Category : Corporate profits
Languages : en
Pages : 318
Book Description
Variation in the Stock Market Response to Earnings Announcements Associated with the Reporting Firm's Position in Its Industry's Earnings Release Queue
Author: Robert G. RamboPublisher:
ISBN:
Category : Corporate profits
Languages : en
Pages : 192
Book Description
Volatility Spread and the Stock Market Response to Earnings Announcements
Author: Qin LeiPublisher:
ISBN:
Category :
Languages : en
Pages : 43
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.
Stock Price Reaction to Quarterly Earnings Announcements with respect of outlook changes and deviation to consensus forecast
Author: Benjamin SchmittPublisher: GRIN Verlag
ISBN: 3656972419
Category : Business & Economics
Languages : en
Pages : 57
Book Description
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.
The Speed of the Market Response to Earnings Announcements and the Bid-ask Spread
Author: Thomas Rodney NolandPublisher:
ISBN:
Category : Investment analysis
Languages : en
Pages : 220
Book Description
STOCK PRICE REACTIONS TO EARNINGS ANNOUNCEMENTS: A
Author: VICTOR L. BERNARDThe Market Reaction to 10-K and 10-Q Filings to Subsequent Wall Street Journal Earnings Announcements
Author: Earl Kay SticePublisher:
ISBN:
Category : Corporation reports
Languages : en
Pages : 286
Book Description
The Effect of Analysts on the Market Response to Earnings Announcements
Author: R. Christopher SmallPublisher:
ISBN:
Category : Financial statements
Languages : en
Pages : 54
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.
Option Strategies for Earnings Announcements
Author: Ping ZhouPublisher: FT Press
ISBN: 0132947404
Category : Business & Economics
Languages : en
Pages : 258
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: Sudip Datta