Evolution of Market Uncertainty around Earnings Announcements

This paper investigates theoretically and empirically the dynamics of the implied volatility (or implied standard deviation - ISD) around earnings announcements dates.

MoreLess

Year of publication:	2000-06-01
Authors:	Isakov, Dušan ; Pérignon, Christophe
Publisher:	International Center for Financial Asset Management and Engineering (FAME) <Genf>
Subject:	Kapitalmarktforschung \| capital market research \| Marktrisiko \| Volatilität \| Kapitalmarkteffizienz \| Empirische Forschung \| empirical research

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

Table of Contents
More details

1. Introduction
2. Evolution aof the ISD around announcements
3. The data
4. Empirical results
5. Conclusion

Persistent link: https://www.econbiz.de/10005843220