What can we learn from firm-level jump-induced tail risk around earnings announcements?
Mengxi (Maggie) Liu, Kam Fong Chan, Robert Faff
| Year of publication: |
2022
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|---|---|
| Authors: | Liu, Mengxi ; Chan, Kam Fong ; Faff, Robert W. |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 138.2022, p. 1-13
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| Subject: | Earnings announcements | Implied moments | Jump-implied variance contribution index | Tail risk | Ankündigungseffekt | Announcement effect | Gewinnprognose | Earnings announcement | Gewinn | Profit | Volatilität | Volatility | Börsenkurs | Share price | Risiko | Risk | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2022.106409 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013461866