[工程科技]IMPLIEDSTANDARDDEVIATIONSANDPOST-EARNINGS.pdfVIP

BRISTOL UNIVERSITY Department of Economics Discussion Paper No. 00/504 IMPLIED STANDARD DEVIATIONS AND POST-EARNINGS ANNOUNCEMENT VOLATILITY ‡ by Daniella Acker University of Bristol 8, Woodland Road Bristol BS8 1TN England July 2000 Running title: ISDs and post-earnings announcement volatility _______________________________ ‡ This paper is an extension of work done for my PhD thesis, for which I was supported by a CATER research fellowship granted by the Institute of Chartered Accountants in England and Wales. I am grateful to David Ashton for providing excellent guidance during the writing of my thesis. I also acknowledge the contribution of I/B/E/S International Inc. for providing earnings per share forecast data, available through the Institutional Brokers Estimate System. This data has been provided as part of a broad program to encourage earnings expectations research. * Correspondence to Daniella Acker, address as above Tel. +44 117 928 8438 Fax +44 117 928 8577 e-mail Daniella.Acker@bristol.ac.uk IMPLIED STANDARD DEVIATIONS AND POST-EARNINGS ANNOUNCEMENT VOLATILITY Abstract This paper investigates volatility increases following annual earnings announcements. Standard deviations implied by options prices are used to show that announcements of bad news result in a lower volatility increase than those of good news, and delay the increase by a day. Reports that are difficult to interpret also delay