The options market response to accounting earnings announcements

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• 作者：Cameron Truong^a ; ^{Cameron.truong@buseco.monash.edu.au} ; ^{cameron.truong@monash.edu.au} ; Charles Corrado^b ; Yangyang Chen^a
• 关键词：G13 ; G14 ; M41
• 刊名：Journal of International Financial Markets ; Institutions & Money
• 出版年：2012
• 期刊代码：45_10424431
• 类别：eco
• 出版时间：July, 2012
• 卷：22
• 期：3
• 页码：423-450
• 文件大小：937 K

摘要

We examine the reaction of the equity options market to accounting earnings announcements over the period 1996-2008 using changes in implied volatility to measure the options market response to earnings news. We find that positive earnings surprises and positive profit announcements produce a larger uncertainty resolution than negative earnings surprises and loss announcements. We demonstrate an inverse relation between the change in implied volatility and earnings news in a three-day window immediately after an earnings announcement. We refer to the magnitude of this relation as the 鈥榦ptions market earnings response coefficient鈥? This 鈥榦ptions market earnings response coefficient鈥?is stronger for both bad news announcements and positive profit announcements. We do not find any significant relation between changes in implied volatility and earnings news in the pre- or post-announcement periods. We conclude that the options market efficiently absorbs earnings information.