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Evolution of Market Uncertainty Around Earnings Announcements

Collection
  • Cahiers de recherche; 1999.12
Publication date1999
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.

Citation (ISO format)
ISAKOV, Dusan, PERIGNON, Christophe. Evolution of Market Uncertainty Around Earnings Announcements. 1999
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accessLevelPublic
Identifiers
  • PID : unige:5872
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Creation15/04/2010 14:20:53
First validation15/04/2010 14:20:53
Update time14/03/2023 16:26:55
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