【主题】收益公布期间的不确定性预期

【主讲人】Yuhang Xing,副教授，美国莱斯大学

【时间】2013-6-6(周四）13:45—15:15

【地点】清华经管学院伟伦楼501

【语言】英语

【主办】金融系

【目标听众】博士生，硕士生以及经管学院教师

【Abstract】

On average, straddles on individual stocks earn significantly negative returns: daily holding period return is -0.19% and weekly holding period return is -2.09%. In sharp contrast, straddle returns are significantly positive around earnings announcements: average at-the-money straddle returns from one day before earnings announcement to the earnings announcement date yields a highly significant 2.3% return. The positive straddle returns around earnings announcements are robust to different stock and option characteristics. Furthermore, we find the positive straddle returns are more pronounced for smaller firms, firms with less analyst coverage, higher past jump frequency, higher kurtosis and more volatile past earnings surprises. This finding suggests that when the firm’s information environment is less transparent, or when there is more noise in the firm’s signals, investors are more likely to underestimate the uncertainty around earnings announcement days.