Option trading price discovery and earnings news dissemination

Spreading the Word: Price Discovery and Newswire Dissemination of Management Earnings Guidance

 

option trading price discovery and earnings news dissemination

• Amin and Lee “Option Trading, Price Discovery, and Earnings News Dissemination” • Callahan, Lee and Yohn “Accounting information and bid-ask spreads” • Glosten and Milgrom "Bid, Ask, and Transactions Prices in a Specialist Market with Heterogeneously Informed Traders" (theoretical) • Krinsky and Lee “Earnings Announcements. Mar 01,  · The Intraday Relation between NYSE and CBOE Prices The Intraday Relation between NYSE and CBOE Prices Hatch, Brian C. I extend the literature regarding price discovery across stock and option markets through an empirical model that allows information to flow through an error‐correction term and volatility. NYSE prices tend. Mutual Fund Response to Earnings News: Evidence from Trade-Level Data in earnings news dissemination. MFs trade (%) more on earnings announcement (EA) days than on non-EA days. our evidence suggests that MFs are relatively sophisticated processors of earnings news, and that their trading during EAs improves the price discovery.


Price Discovery Definition


Ahmed Mohsen Al-Baidhani This study aims to evaluate the usefulness and relevance of accounting earnings disclosures, as the key determinant of stock price changes. The main option trading price discovery and earnings news dissemination is to examine whether earnings response coefficient ERC behaviour could explain more fully the stock price changes, as to the reason why the stock price change is not equal to the number of announced earnings.

The analysis is then grouped into developed markets: Japan, UK, Sweden, and Switzerland; and emerging markets: Malaysia and Mexico, for the period Two measures of abnormal returns are regressed against the size of the announced earnings. The first regression uses measures from individual events, option trading price discovery and earnings news dissemination. The second regression uses a new measure; that is, from portfolios made out of all observations sorted by size of earnings into ten portfolios for each country and combination of countries, option trading price discovery and earnings news dissemination.

The portfolio method used was aimed at controlling possible idiosyncratic-errors-in-variables problem using individual event measures. The results using individual-event measures resulted in reasonable ERC sizes with high R2 explanatory power, a little higher than those reported in prior studies on other countries. Importantly, portfolio-based ERC is very close to the magnitude of the earnings in some tests, which supports the famous value relevance theory in accounting.

This finding is new to this literature. Stock price response to earnings announcements: Developed versus emerging economies.

It is clear that a large body of research on ERC topic is based on this view that accounting information is very useful to stock investors, and consequently to the financial standards setters Al-Baidhani, ;Al-Baidhani et al.

Continuing study of ERC is founded on the view that accounting information is useful to equity investors and to the financial accounting standards setters Al-Baidhani, ;Al- Baidhani et al. The writer agrees with this view and the present study result that ERC values reach close to 1.

 

 

option trading price discovery and earnings news dissemination

 

Option market activity increases by more than 10% in the four days before quarterly earnings announcements. We show that the direction of this preannouncement trading foreshadows subsequent earnings news. Specifically, we find option traders initiate a greater proportion of Cited by: This study investigates the informational role of option trading in price discovery process around the dissemination of earnings news. The effect of options markets are examined first by analysing. Option trading price discovery and earnings news dissemination bitcoin to drop as low as this year Psychic work at home guide acheter crypto monnaie neo Options trading privileges scottrade broker forex lokal legal Bitcoin italia news cuando para el bitcoin.