haku: @author Perignon, C. / yhteensä: 5
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| Tekijä: | Isakov, D. Perignon, C. |
| Otsikko: | Evolution of market uncertainty around earnings announcements |
| Lehti: | Journal of Banking and Finance
2001 : SEP, VOL. 25:9, p. 1769-1788 |
| Asiasana: | EARNINGS GEARING UNCERTAINTY VOLATILITY |
| Kieli: | eng |
| Tiivistelmä: | This paper investigates theoretically and empirically the dynamics of the implied volatility or implied standard deviation (ISD) around earnings announcement dates. The volatility implied by option prices can be interpreted as the level of volatility expected by the market over the remaining life of the option. |
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