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Evolution of Market Uncertainty Around Earnings Announcements

Contributors

Isakov, Dusan; Perignon, Christophe

Collection

  • Cahiers de recherche; 1999.12

Publication date

1999

Abstract

This paper investigates, theoretically and empirically, the dynamic of the implied volatility (ISD) around earnings announcements dates. The volatility implied in option prices can be interpreted as the market's expected level of volatility over the remaining life of the option. In this framework the paper proposes a theoretical model of the evolution of the ISD that takes into accound two well-known features of the instantaneous volatility: volatility clustering and the leverage effect. The model indicates that the ISD should decrease after an earnings announcement except after a bad news where it should be stable or even increase. An empirical investigation is conducted on the Swiss market over the period 1989-1998.The results confirm the main implications of the theoretical model.

UNIGE affiliation entities

Citation (ISO format)

ISAKOV, Dusan, PERIGNON, Christophe. Evolution of Market Uncertainty Around Earnings Announcements. 1999

Main files (1)

Report

Identifiers

  • PID : unige:5872
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Technical informations

Creation

15/04/2010 12:20:53

First validation

15/04/2010 12:20:53

Update

14/03/2023 15:26:55

Status update

14/03/2023 15:26:55

Last indexation

29/10/2024 14:25:11
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