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The Relative Option To Stock Volume Os And Market Response To Earnings Surprises
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Book Synopsis The Relative Option to Stock Volume (OS) and Market Response to Earnings Surprises by : Atul Rai
Download or read book The Relative Option to Stock Volume (OS) and Market Response to Earnings Surprises written by Atul Rai and published by . This book was released on 2016 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the effect of option volume relative to stock volume (O/S) on market response to earnings surprises. The market reaction per unit of earnings surprise is lower for firms that have high O/S prior to earnings announcement than for firms with low O/S prior to earnings announcement. The difference is exacerbated for higher levels of preannouncement returns. Results suggest informed trading by option traders stimulates preemption of the information content of earnings releases and makes earnings surprises less of a surprise. Overall, results are consistent with the view that options improve informational efficiency. Results are robust to several controls.
Book Synopsis An Examination of the Relation Between Options Volume and Earnings Surprises by : Griffin Corn
Download or read book An Examination of the Relation Between Options Volume and Earnings Surprises written by Griffin Corn and published by . This book was released on 2013 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: Information is the key to any successful market. In equity markets, the possession of undiscovered or unpublished information can lead to abnormal returns. This study attempts to determine if there is a relationship between option volumes and earnings surprises. By examining option volumes leading up to company earnings announcements for the 100 companies in the S&P 100 Index over the five year period from 2008 to 2012 and comparing these figures to the earnings surprises of the firms for each announcement period, this study aims to determine if option volumes have predictive ability for company performance. Ultimately, results were not entirely conclusive. Call option volumes were only 40% successful in predicting an earnings surprise, but put option volumes were 62% effective. Utilizing both calls and puts to predict earnings surprise directions was only 25% predictive. These results suggest that unusual option volume is not a reliable predictor of earnings surprise direction; nevertheless, it has some relevance.
Book Synopsis Trading on Corporate Earnings News by : John Shon
Download or read book Trading on Corporate Earnings News written by John Shon and published by FT Press. This book was released on 2011-03-09 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: Profit from earnings announcements, by taking targeted, short-term option positions explicitly timed to exploit them! Based on rigorous research and huge data sets, this book identifies the specific earnings-announcement trades most likely to yield profits, and teaches how to make these trades—in plain English, with real examples! Trading on Corporate Earnings News is the first practical, hands-on guide to profiting from earnings announcements. Writing for investors and traders at all experience levels, the authors show how to take targeted, short-term option positions that are explicitly timed to exploit the information in companies’ quarterly earnings announcements. They first present powerful findings of cutting-edge studies that have examined market reactions to quarterly earnings announcements, regularities of earnings surprises, and option trading around corporate events. Drawing on enormous data sets, they identify the types of earnings-announcement trades most likely to yield profits, based on the predictable impacts of variables such as firm size, visibility, past performance, analyst coverage, forecast dispersion, volatility, and the impact of restructurings and acquisitions. Next, they provide real examples of individual stocks–and, in some cases, conduct large sample tests–to guide investors in taking advantage of these documented regularities. Finally, they discuss crucial nuances and pitfalls that can powerfully impact performance.
Book Synopsis Volatility Spread and the Stock Market Response to Earnings Announcements by : Qin Lei
Download or read book Volatility Spread and the Stock Market Response to Earnings Announcements written by Qin Lei and published by . This book was released on 2017 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a broad sample of earnings announcements, we find that option call and put implied volatilities become increasingly misaligned as the earnings announcement dates (EAD) get closer. The percentage deviation between call and put implied volatilities increases monotonically in the one-month period leading up to the EAD. In addition, the direction of these deviations is consistent with the announcement returns of such earnings releases. More importantly, by adapting the earnings response coefficient (ERC) framework, we find that pre-earnings option trading actually increases rather than decreases the stock market response to the earnings announcements. In a cross section of earnings announcements, we find stronger stock market reaction from earnings announcements with greater abnormal implied volatility spread immediately before the EAD. By relating option volume to investor attention, we find higher pre-announcement option volume is associated with increased stock market response. Overall, our findings suggest that pre-earnings option trading helps alleviate the stock market under-reaction to earnings announcements and make the stock market response more complete.
Book Synopsis Handbook of Alternative Data in Finance, Volume I by : Gautam Mitra
Download or read book Handbook of Alternative Data in Finance, Volume I written by Gautam Mitra and published by CRC Press. This book was released on 2023-07-12 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Alternative Data in Finance, Volume I motivates and challenges the reader to explore and apply Alternative Data in finance. The book provides a robust and in-depth overview of Alternative Data, including its definition, characteristics, difference from conventional data, categories of Alternative Data, Alternative Data providers, and more. The book also offers a rigorous and detailed exploration of process, application and delivery that should be practically useful to researchers and practitioners alike. Features Includes cutting edge applications in machine learning, fintech, and more Suitable for professional quantitative analysts, and as a resource for postgraduates and researchers in financial mathematics Features chapters from many leading researchers and practitioners
Book Synopsis Earnings Surprises and the Options Market by : Donald H. Fehrs
Download or read book Earnings Surprises and the Options Market written by Donald H. Fehrs and published by . This book was released on 2008 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: Numerous articles over the past few decades have documented a consistent relationship between earnings surprises and subsequent stock price performance. [See, for example, Ball and Brown (1968), Rendleman, Jones, and Latane (1982), Foster, Olsen, and Shevlin (1984), and Bernard and Thomas (1989).] Specifically when firms announce quarterly earnings figures that are higher (lower) than market expectations, as proxied by either mechanical time-series models or commercially available analysts forecasts, the stock price performance following the announcement tends to be abnormally good (bad). This phenomenon is referred to as post-earnings-announcement drift or the standardized unexpected earnings effect, SUE for short.
Book Synopsis Trading Volume Reactions to Earnings Announcements and Future Firm Performance by : Doron Israeli
Download or read book Trading Volume Reactions to Earnings Announcements and Future Firm Performance written by Doron Israeli and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: I investigate whether firms with higher abnormal trading volume (ATV) around earnings announcements (EAs) outperform those with lower ATV over the short and long terms following the EA. In addition, I address whether any positive relation between ATV around EAs and future firm performance is weaker for firms with a higher proportion of shares held by sophisticated investors. Consistent with theories that attribute ATV around public announcements primarily to differing investor interpretations of the news and that link differential interpretation to future returns, I find that, for several years after an EA, firms in the highest decile of ATV significantly outperform those in the lowest decile. Further, I find that ATV and earnings surprises explain future returns incremental to the three Fama and French (1993) and momentum risk-factors. Next, consistent with the proportion of ATV driven by lack of consensus regarding the price being lower when the presence of rational investors is higher, I document that the level of investor sophistication-a proxy for investor rationality-attenuates the positive relation between ATV and future returns. Taken together, my study lends support to and links two streams of theories from financial economics, and demonstrates that trading volume reactions to EAs provide information about future returns and firm financial performance that cannot be deduced from the price reactions or the magnitudes of earnings surprises. My study also documents that the positive relation between ATV and future firm performance is sensitive to the level of security holdings of sophisticated investors.
Book Synopsis An Examination of the "systematic Post-announcement Drift" Anomaly Employing a Relative Measure of Earnings Surprises by : Myung Chul Chung
Download or read book An Examination of the "systematic Post-announcement Drift" Anomaly Employing a Relative Measure of Earnings Surprises written by Myung Chul Chung and published by . This book was released on 1991 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Implied Volatility Functions by : Bernard Dumas
Download or read book Implied Volatility Functions written by Bernard Dumas and published by . This book was released on 1996 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: Black and Scholes (1973) implied volatilities tend to be systematically related to the option's exercise price and time to expiration. Derman and Kani (1994), Dupire (1994), and Rubinstein (1994) attribute this behavior to the fact that the Black-Scholes constant volatility assumption is violated in practice. These authors hypothesize that the volatility of the underlying asset's return is a deterministic function of the asset price and time and develop the deterministic volatility function (DVF) option valuation model, which has the potential of fitting the observed cross-section of option prices exactly. Using a sample of S & P 500 index options during the period June 1988 through December 1993, we evaluate the economic significance of the implied deterministic volatility function by examining the predictive and hedging performance of the DV option valuation model. We find that its performance is worse than that of an ad hoc Black-Scholes model with variable implied volatilities.
Book Synopsis The Handbook of Equity Market Anomalies by : Leonard Zacks
Download or read book The Handbook of Equity Market Anomalies written by Leonard Zacks and published by John Wiley & Sons. This book was released on 2011-08-24 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investment pioneer Len Zacks presents the latest academic research on how to beat the market using equity anomalies The Handbook of Equity Market Anomalies organizes and summarizes research carried out by hundreds of finance and accounting professors over the last twenty years to identify and measure equity market inefficiencies and provides self-directed individual investors with a framework for incorporating the results of this research into their own investment processes. Edited by Len Zacks, CEO of Zacks Investment Research, and written by leading professors who have performed groundbreaking research on specific anomalies, this book succinctly summarizes the most important anomalies that savvy investors have used for decades to beat the market. Some of the anomalies addressed include the accrual anomaly, net stock anomalies, fundamental anomalies, estimate revisions, changes in and levels of broker recommendations, earnings-per-share surprises, insider trading, price momentum and technical analysis, value and size anomalies, and several seasonal anomalies. This reliable resource also provides insights on how to best use the various anomalies in both market neutral and in long investor portfolios. A treasure trove of investment research and wisdom, the book will save you literally thousands of hours by distilling the essence of twenty years of academic research into eleven clear chapters and providing the framework and conviction to develop market-beating strategies. Strips the academic jargon from the research and highlights the actual returns generated by the anomalies, and documented in the academic literature Provides a theoretical framework within which to understand the concepts of risk adjusted returns and market inefficiencies Anomalies are selected by Len Zacks, a pioneer in the field of investing As the founder of Zacks Investment Research, Len Zacks pioneered the concept of the earnings-per-share surprise in 1982 and developed the Zacks Rank, one of the first anomaly-based stock selection tools. Today, his firm manages U.S. equities for individual and institutional investors and provides investment software and investment data to all types of investors. Now, with his new book, he shows you what it takes to build a quant process to outperform an index based on academically documented market inefficiencies and anomalies.
Book Synopsis Investment Intelligence from Insider Trading by : H. Nejat Seyhun
Download or read book Investment Intelligence from Insider Trading written by H. Nejat Seyhun and published by MIT Press. This book was released on 2000-02-28 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt: Learn how to profit from information about insider trading. The term insider trading refers to the stock transactions of the officers, directors, and large shareholders of a firm. Many investors believe that corporate insiders, informed about their firms' prospects, buy and sell their own firm's stock at favorable times, reaping significant profits. Given the extra costs and risks of an active trading strategy, the key question for stock market investors is whether the publicly available insider-trading information can help them to outperform a simple passive index fund. Basing his insights on an exhaustive data set that captures information on all reported insider trading in all publicly held firms over the past twenty-one years—over one million transactions!—H. Nejat Seyhun shows how investors can use insider information to their advantage. He documents the magnitude and duration of the stock price movements following insider trading, determinants of insiders' profits, and the risks associated with imitating insider trading. He looks at the likely performance of individual firms and of the overall stock market, and compares the value of what one can learn from insider trading with commonly used measures of value such as price-earnings ratio, book-to-market ratio, and dividend yield.
Download or read book Options Markets written by John C. Cox and published by Prentice Hall. This book was released on 1985 with total page 518 pages. Available in PDF, EPUB and Kindle. Book excerpt: Includes the first published detailed description of option exchange operations, the first published treatment using only elementary mathematics and the first step-by-step procedure for implementing the Black-Scholes formula in actual trading.
Book Synopsis Accounting Theory by : Harry I. Wolk
Download or read book Accounting Theory written by Harry I. Wolk and published by SAGE Publications. This book was released on 2016-06-04 with total page 605 pages. Available in PDF, EPUB and Kindle. Book excerpt: This updated Ninth Edition of Accounting Theory: Conceptual Issues in a Political and Economic Environment continues to be one of the most relevant and comprehensive texts on accounting theory. Authors Harry I. Wolk, James L. Dodd, John J. Rozycki provide a critical overview of accounting as a whole as well as touch on the financial issues in economic and political contexts, providing readers with an understanding of how current United States accounting standards were derived and where we might be headed in the future. Readers will find learning tools such as questions, cases, problems and writing assignments to solidify their understanding of accounting theory and gain new insights into this evolving field.
Book Synopsis Options and Earnings Announcements by : Monique W.M. Donders
Download or read book Options and Earnings Announcements written by Monique W.M. Donders and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we study the impact of earnings announcements on trading volume, open interest and spreads in the stock option market. We find that option volume is higher around announcement days, even if we correct for stock volume and the expected future volatility of stock returns. Results in the pre-event period are different for good and bad news samples, indicating that option traders have access to (possibly short lived) private information. During the days before the announcements open interest tends to increase. After the earnings news dissemination traders seem to lose interest in the contracts and cancel part of their option positions thereby reducing open interest to normal levels. Analysis of quoted spreads provide no evidence of dealers' anticipation of higher information asymmetry in the pre- or post announcement period. However, results for effective spreads indicate that the transaction costs are higher on the announcement day itself and on the day immediately following the earnings dissemination. Both quoted and effective spreads are shown to respond to changes in trading volume and expected return variability.
Download or read book Finding Alphas written by Igor Tulchinsky and published by John Wiley & Sons. This book was released on 2019-10-01 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt: Discover the ins and outs of designing predictive trading models Drawing on the expertise of WorldQuant’s global network, this new edition of Finding Alphas: A Quantitative Approach to Building Trading Strategies contains significant changes and updates to the original material, with new and updated data and examples. Nine chapters have been added about alphas – models used to make predictions regarding the prices of financial instruments. The new chapters cover topics including alpha correlation, controlling biases, exchange-traded funds, event-driven investing, index alphas, intraday data in alpha research, intraday trading, machine learning, and the triple axis plan for identifying alphas. • Provides more references to the academic literature • Includes new, high-quality material • Organizes content in a practical and easy-to-follow manner • Adds new alpha examples with formulas and explanations If you’re looking for the latest information on building trading strategies from a quantitative approach, this book has you covered.
Author :City of London College of Economics Publisher :City of London College of Economics ISBN 13 : Total Pages :7766 pages Book Rating :4./5 ( download)
Book Synopsis MBA in Finance - City of London College of Economics - 10 months - 100% online / self-paced by : City of London College of Economics
Download or read book MBA in Finance - City of London College of Economics - 10 months - 100% online / self-paced written by City of London College of Economics and published by City of London College of Economics. This book was released on with total page 7766 pages. Available in PDF, EPUB and Kindle. Book excerpt: Overview You will be taught all skills and knowledge you need to become a finance manager respectfully investment analyst/portfolio manager. Content - Financial Management - Investment Analysis and Portfolio Management - Management Accounting - Islamic Banking and Finance - Investment Risk Management - Investment Banking and Opportunities in China - International Finance and Accounting - Institutional Banking for Emerging Markets - Corporate Finance - Banking Duration 10 months Assessment The assessment will take place on the basis of one assignment at the end of the course. Tell us when you feel ready to take the exam and we’ll send you the assignment questions. Study material The study material will be provided in separate files by email / download link.
Book Synopsis Stock Investing for Everyone by : Arshad Khan
Download or read book Stock Investing for Everyone written by Arshad Khan and published by John Wiley & Sons. This book was released on 1999-10-07 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'Stock Investing for Everyone' richtet sich an die wachsende Zahl von Leuten, die ihre Geldanlage selbst in die Hand nehmen: Seriöse Anleger, die zwar die Technik des Aktienkaufs beherrschen, aber fortgeschrittene Analysemethoden erlernen möchten, damit sie mit möglichst geringem Zeitaufwand Aktienwerte analysieren können. Anders als die meisten anderen Autoren konzentriert sich Khan ausschließlich auf den Aktienmarkt. Er behandelt das Kursverhalten einzelner Aktien und den Gesamtmarkt anhand von schrittweisen Anleitungen, wie man mit Hilfe verschiedener Anlagestrategien Kurse überwacht, Werte bonitätsmäßig einstuft und schließlich bestimmte Aktien auswählt. Ursprünglich als zweibändiges Set herausgegeben, erscheint diese Neuauflage aktualisiert und komprimiert jetzt in einem einzigen handlichen Band. (10/99)
