What can we learn from firm-level jump-induced tail risk around earnings announcements?

被引：0
|
作者：
Liu, Mengxi [4 ]
Chan, Kam Fong [1 ]
Faff, Robert [2 ,3 ]
机构：
[1] Univ Western Australia, Perth, Australia
[2] Bond Univ, Gold Coast, Australia
[3] Univ Queensland, Brisbane, Australia
[4] InterFinancial Corp Finance Ltd, Brisbane City, Australia
来源：
JOURNAL OF BANKING & FINANCE | 2022年 / 138卷
关键词：
Tail risk; Jump-implied variance contribution index; Earnings announcements; Implied moments; CROSS-SECTION; SECURITY RETURNS; STOCK; INFORMATION; VOLATILITY; SKEWNESS; PERSISTENCE; EFFICIENCY; DYNAMICS; NEWS;
D O I：
10.1016/j.jbankfin.2022.106409
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In this study, we provide empirical evidence that firm-level jump-induced tail risk (measured by a jump implied variance contribution index [JIVX]) prospectively predicts cross-sectional stock returns around earnings announcements. The effect size is nontrivial. A practical trading strategy that buys announcers with high pre-news JIVX values and sells announcers with low pre-news JIVX values, earns a net risk adjusted average return of 82 basis points (bps) three days after the news release. Notably, the empirical success of the JIVX predictor is distinct from model-free implied skewness and kurtosis measures and withstands a battery of robustness checks. (c) 2022 Elsevier B.V. All rights reserved.
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页数：13
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