Asymmetric Uncertainty Around Earnings Announcements: Evidence from Options Markets
American Business Review, ISSN: 2689-8810, Vol: 27, Issue: 2, Page: 459-487
2024
- 345Usage
Metric Options: Counts1 Year3 YearSelecting the 1-year or 3-year option will change the metrics count to percentiles, illustrating how an article or review compares to other articles or reviews within the selected time period in the same journal. Selecting the 1-year option compares the metrics against other articles/reviews that were also published in the same calendar year. Selecting the 3-year option compares the metrics against other articles/reviews that were also published in the same calendar year plus the two years prior.
Example: if you select the 1-year option for an article published in 2019 and a metric category shows 90%, that means that the article or review is performing better than 90% of the other articles/reviews published in that journal in 2019. If you select the 3-year option for the same article published in 2019 and the metric category shows 90%, that means that the article or review is performing better than 90% of the other articles/reviews published in that journal in 2019, 2018 and 2017.
Citation Benchmarking is provided by Scopus and SciVal and is different from the metrics context provided by PlumX Metrics.
Example: if you select the 1-year option for an article published in 2019 and a metric category shows 90%, that means that the article or review is performing better than 90% of the other articles/reviews published in that journal in 2019. If you select the 3-year option for the same article published in 2019 and the metric category shows 90%, that means that the article or review is performing better than 90% of the other articles/reviews published in that journal in 2019, 2018 and 2017.
Citation Benchmarking is provided by Scopus and SciVal and is different from the metrics context provided by PlumX Metrics.
Metrics Details
- Usage345
- Abstract Views188
- Downloads157
Article Description
We use the Indian stock options market to study the evolution of uncertainty and asymmetric uncertainty around earnings announcements (EAs). We find that uncertainty (implied volatility) and asymmetric uncertainty (options skew) increase monotonically before the EA day and decrease after EA. Options volume (relative to spot and to futures) also exhibits similar behavior, suggesting that informed investors prefer options markets to spot and futures markets. Both options skew and put-to-call volume ratio can predict the sign of the EA surprise one day before EA, indicating that price discovery and information assimilation happen in the options market.
Bibliographic Details
http://www.scopus.com/inward/record.url?partnerID=HzOxMe3b&scp=85210028795&origin=inward; http://dx.doi.org/10.37625/abr.27.2.459-487; http://digitalcommons.newhaven.edu/americanbusinessreview/vol27/iss2/4; https://digitalcommons.newhaven.edu/americanbusinessreview/vol27/iss2/4; https://digitalcommons.newhaven.edu/cgi/viewcontent.cgi?article=2897&context=americanbusinessreview; https://dx.doi.org/10.37625/abr.27.2.459-487; https://digitalcommons.newhaven.edu/americanbusinessreview/vol27/iss2/4/
University of New Haven - College of Business
Provide Feedback
Have ideas for a new metric? Would you like to see something else here?Let us know