• Login
    View Item 
    •   IIMA Institutional Repository Home
    • Faculty Publications (Bibliographic)
    • Open Access Journal Articles
    • View Item
    •   IIMA Institutional Repository Home
    • Faculty Publications (Bibliographic)
    • Open Access Journal Articles
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    Asymmetric uncertainty around earnings announcements: evidence from options markets

    Thumbnail
    View/Open
    a3.pdf (887.7Kb)
    Date
    2024-11
    Author
    Saurav, Sumit
    Agarwalla, Sobhesh Kumar
    Varma, Jayanth R.
    Metadata
    Show full item record
    Abstract
    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.
    URI
    http://hdl.handle.net/11718/27580
    Collections
    • Open Access Journal Articles [352]

    DSpace software copyright © 2002-2016  DuraSpace
    Contact Us | Send Feedback
    Theme by 
    Atmire NV
     

     

    Browse

    All of IIMA Institutional RepositoryCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsThis CollectionBy Issue DateAuthorsTitlesSubjects

    My Account

    Login

    Statistics

    View Usage Statistics

    DSpace software copyright © 2002-2016  DuraSpace
    Contact Us | Send Feedback
    Theme by 
    Atmire NV