Anticipating Uncertainty: Straddles Around Earnings Announcements

Author:

Xing Yuhang,Zhang Xiaoyan

Publisher

Elsevier BV

Reference45 articles.

1. Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?;V L Bernard;Journal of Accounting Research,1989

2. The Pricing of Options and Corporate Liabilities;F Black;Journal of Political Economy,1973

3. Biases in Computed Returns: an Application to the Size Effect;M E Blume;Journal of Financial Economics,1983

4. Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?;N Bollen;Journal of Finance,2004

5. Why Are Put Options So Expensive?;O Bondarenko;Quarterly Journal of Finance,2014

Cited by 3 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. Option Mispricing around Nontrading Periods;The Journal of Finance;2018-01-16

2. The Timing of Option Returns;SSRN Electronic Journal;2017

3. The Weekend Effect in Equity Option Returns;SSRN Electronic Journal;2010

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