Intra-industry information transfers: evidence from changes in implied volatility around earnings announcements
作者: Rebecca N. HannHeedong KimYue Zheng
作者单位: 1Robert H. Smith School of Business, University of Maryland
2Zicklin School of Business, Baruch College, City University of New York
3School of Business and Management, The Hong Kong University of Science and Technology
刊名: Review of Accounting Studies, 2019, Vol.24 (3), pp.927-971
来源数据库: Springer Journal
DOI: 10.1007/s11142-019-9487-1
关键词: Second-moment information transferImplied volatilityVolatility riskUncertaintyEarnings announcements
英文摘要: Abstract(#br)We examine whether there is intra-industry information transfer with respect to the second moment of returns around earnings announcements. Using implied volatility from option prices to proxy for uncertainty about firm fundamentals, we find a significantly positive association between changes in the implied volatility of each industry’s first announcer and its peers around the first announcer’s earnings announcement, suggesting that earnings announcements help resolve uncertainty about the value of not only the announcing firm but also its peers. This result holds after controlling for information transfer with respect to the first moment of returns. We further find that the extent of second-moment information transfer is stronger for long-duration options, when the...
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影响因子:1.364 (2012)

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