𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Discussion of: The option market’s anticipation of information content in earnings announcements

✍ Scribed by Jeffrey J. Burks


Publisher
Springer US
Year
2011
Tongue
English
Weight
194 KB
Volume
16
Category
Article
ISSN
1380-6653

No coin nor oath required. For personal study only.


📜 SIMILAR VOLUMES


Information content of volatilities impl
✍ William W. Wilson; Hung-Gay Fung 📂 Article 📅 1990 🏛 John Wiley and Sons 🌐 English ⚖ 907 KB

Although the interest rate needs to be forecast, the study by Plato (1985) and others have shown that the interest rate forecast has little impact on the option premium. Therefore, the observed Treasury Bill interest rate is used as the parameter in this study.

The information content of option implie
✍ Joseph K. W. Fung 📂 Article 📅 2007 🏛 John Wiley and Sons 🌐 English ⚖ 212 KB 👁 2 views

## Abstract This study examines the information conveyed by options and examines their implied volatility at the time of the 1997 Hong Kong stock market crash. The author determines the efficiency of implied volatility as a predictor of future volatility by comparing it to other leading indicator c

Informed trading in the index option mar
✍ Hee-Joon Ahn; Jangkoo Kang; Doojin Ryu 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 219 KB 👁 2 views

## Abstract This study examines if informed trading is present in the index option market by analyzing the KOSPI 200 options, the most actively traded derivative product in the world. The spread decomposition model developed by Madhavan, Richardson, and Roomans (1997) is utilized and the adverse‐se

The information content in implied idios
✍ Dean Diavatopoulos; James S. Doran; David R. Peterson 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 266 KB 👁 2 views

## Abstract Current literature is inconclusive as to whether idiosyncratic risk influences future stock returns and the direction of the impact. Earlier studies are based on historical realized volatility. Implied volatilities from option prices represent the market's assessment of future risk and