Related Books
Language: en
Pages: 36
Pages: 36
Type: BOOK - Published: 2014 - Publisher:
We provide evidence that an option implied volatility-based measure predicts future absolute excess returns of the underlying stock around earnings announcement
Language: en
Pages: 30
Pages: 30
Type: BOOK - Published: 2015 - Publisher:
Prior research documents that volatility spreads predict stock returns. If the trading activity of informed investors is an important driver of volatility sprea
Language: en
Pages: 64
Pages: 64
Type: BOOK - Published: 2008 - Publisher:
The volatility information content of stock options for individual firms is measured using option prices for 149 U.S. firms during the period from January 1996
Language: en
Pages: 0
Pages: 0
Type: BOOK - Published: 2013 - Publisher: Financial Times/Prentice Hall
By trading on corporate earnings, investors can reliably profit in both up and down markets, while avoiding market risk for nearly the entire quarter. In this b
Language: en
Pages: 256
Pages: 256
Type: BOOK - Published: 2015-04-08 - Publisher:
Exploiting Earnings Volatility introduces an innovative new framework for evaluating, optimizing, and trading option strategies to profit from earnings-related