The impact of firm specific news on implied volatilities

被引：45

作者：

Donders, MWM

Vorst, TCF

机构：

[1] ERASMUS UNIV ROTTERDAM,DEPT FINANCE,NL-3000 DR ROTTERDAM,NETHERLANDS

[2] ERASMUS UNIV ROTTERDAM,ERASMUS CTR FINANCIAL RES,NL-3000 DR ROTTERDAM,NETHERLANDS

[3] INST RES & INVESTMENT SERV,NL-3011 AG ROTTERDAM,NETHERLANDS

来源：

JOURNAL OF BANKING & FINANCE | 1996年 / 20卷 / 09期

关键词：

event study; implied volatility;

D O I：

10.1016/S0378-4266(96)00011-8

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study the implied volatility behavior of call options around scheduled news announcement days. Implied volatilities increase significantly during the pre-event period and reach a maximum on the eve of the news announcement. After the news release, implied volatility drops sharply and gradually moves back to its long-run level. Only on the event date are movements in the price of the underlying significantly larger than expected. These results confirm the theoretical results of Merton (1973).

引用

页码：1447 / 1461

页数：15

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