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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

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

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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

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

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

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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

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

Short selling activity, price efficiency and fundamental value of IPO stocks

Cheng, Lee-young; Yan, Zhipeng; Zhao, Yan; Chang, Wei-fang - In: Pacific-Basin finance journal 20 (2012) 5, pp. 809-824

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Daily short covering activity and the weekend effect : evidence from Taiwan

Yan, Zhipeng; Cheng, Lee-Young; Zhao, Yan; Huang, Chung-Yuan - In: Pacific-Basin finance journal 36 (2016), pp. 166-184

Persistent link: https://www.econbiz.de/10011668793

Earnings response elasticity and post-earnings-announcement drift

Yan, Zhipeng; Zhao, Yan; Xu, Wei; Cheng, Lee-young - In: The journal of asset management 13 (2012) 4, pp. 287-305

Persistent link: https://www.econbiz.de/10009630233