عنوان انگلیسی مقاله:

Accounting quality, information risk and implied volatility around earnings announcements

ترجمه عنوان مقاله: کیفیت حسابداری، ریسک اطلاعات و نوسان ضمنی در آستانه اعلام سود

رشته: مالی و حسابداری

سال انتشار: 2015

تعداد صفحات مقاله انگلیسی: 44 صفحه

منبع: Journal of International Financial Markets

نوع فایل: pdf

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چکیده مقاله

We examine the impact of accounting quality, used as a proxy for information risk, on the behavior of equity implied volatility around quarterly earnings announcements. Using US data during 1996-2010, we observe that lower (higher) accounting quality significantly relates to higher (lower) levels of implied volatility (IV) around announcements. Worse accounting quality is further associated with a significant increase in IV before announcements, and is found to relate to a larger resolution in IV after the announcement has taken place. We interpret our findings as indicative of information risk having a significant impact on implied volatility behavior around earnings announcements.
Keywords: Accounting quality, accruals quality, information risk, earnings announcements, implied volatility, investor uncertainty.

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