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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