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The options market response to accounting earnings announcements
16 references·2 citing·38 second hop
The options market response to accounting earnings announcements (2012)The options market response to accounting…Capital markets research in accounting (2001)Capital markets research in a…Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Market efficiency, long-term …The conservatism principle and the asymmetric timeliness of earnings1 (1997)The conservatism principle an…Industry costs of equity (1997)Industry costs of equityThe information content of losses (1995)The information content of lo…Why Firms Voluntarily Disclose Bad News (1994)Why Firms Voluntarily Disclos…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium? (1989)Post-Earnings-Announcement Dr…Expected stock returns and volatility (1987)Expected stock returns and vo…Discretionary disclosure (1983)Discretionary disclosureThe stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…The Information Content of Annual Earnings Announcements (1968)The Information Content of An…An Empirical Evaluation of Accounting Income Numbers (1968)An Empirical Evaluation of Ac…Does Real Earnings Smoothing Reduce Investors’ Perceived Risk? (2019)Does Real Earnings Smoothing …When are extreme daily returns not lottery? At earnings announcements! (2018)When are extreme daily return…Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Dividend Policy under Asymmetric Information (1985)Positive Accounting Theory (1985)The effect of international institutional factors on properties of accounting earnings (2000)Performance matched discretionary accrual measures (2005)Understanding earnings quality: A review of the proxies, their determinants and their consequences (2010)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Conditional Skewness in Asset Pricing Tests (2000)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)On Persistence in Mutual Fund Performance (1997)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Job Market Signaling (1973)Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature (2001)Revisiting the relation between environmental performance and environmental disclosure: An empirical analysis (2007)The financial reporting environment: Review of the recent literature (2010)Using daily stock returns (1985)Efficient Capital Markets: II (1991)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1968An Empirical Evaluation of Accounting Income Numbers6,384 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1997Industry costs of equity5,793 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1997The conservatism principle and the asymmetric timeliness of earnings13,988 cited
  • 1983Discretionary disclosure3,477 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1968The Information Content of Annual Earnings Announcements2,739 cited
  • 2001Capital markets research in accounting2,575 cited
  • 1998Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.12,572 cited
  • 1994Why Firms Voluntarily Disclose Bad News2,435 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited

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1995
The information content of losses
2,315 cited
  • 1989Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?2,314 cited
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    • 2018When are extreme daily returns not lottery? At earnings announcements!24 cited
    • 2019Does Real Earnings Smoothing Reduce Investors’ Perceived Risk?16 cited