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Attention : implied volatility spreads and stock returns

Gao, Xuechen; Wang, Xuewu; Yan, Zhipeng - In: The journal of behavioral finance : a publication of … 21 (2020) 4, pp. 385-398

Persistent link: https://www.econbiz.de/10012312341

Volatility spread and stock market response to earnings announcements

Lei, Qin; Wang, Xuewu; Yan, Zhipeng - In: Journal of banking & finance 119 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012521179

Investor attention, divergence of opinions, and stock returns

Cao, Zhen; Kilic, Osman; Wang, Xuewu - In: The journal of behavioral finance : a publication of … 22 (2021) 3, pp. 265-279

Persistent link: https://www.econbiz.de/10012607366

Sophisticated investor attention and market reaction to earnings announcements : evidence from the SEC's EDGAR log files

Li, Ruihai; Wang, Xuewu; Yan, Zhipeng; Zhao, Yan - In: The journal of behavioral finance : a publication of … 20 (2019) 4, pp. 490-503

Persistent link: https://www.econbiz.de/10012180521

Past stock returns and the max effect

Chelikani, Surya; Kilic, Osman; Wang, Xuewu - In: The journal of behavioral finance : a publication of … 23 (2022) 3, pp. 338-352

Persistent link: https://www.econbiz.de/10013353014

Implied volatility spread and stock mispricing

Cao, Zhen; Chelikani, Surya; Kilic, Osman; Wang, Xuewu - In: The journal of behavioral finance : a publication of … 25 (2024) 1, pp. 79-91

Persistent link: https://www.econbiz.de/10014513781

Sustainable success : how high ESG ratings affect stock market responses to earnings surprises

Wang, Renxuan; Wang, Xuewu; Yan, Zhipeng - In: Finance research letters 62 (2024) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10014530782

Volatility Spread and the Stock Market Response to Earnings Announcements

Lei, Qin - 2017

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...

Persistent link: https://www.econbiz.de/10012972259