The Dynamic Informativeness of Scheduled News

We propose a method to identify the informativeness of a future scheduled announcement at the daily level, exploiting the discontinuity it creates in the term structure of option volatility. We implement the strategy in a panel data model to estimate the relation between prior signals and the future...

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Veröffentlicht in:	Management science 2024-10, Vol.70 (10), p.6724-6739
Hauptverfasser:	Crego, Julio A., Gider, Jasmin
Format:	Artikel
Sprache:	eng
Schlagworte:	Analysts Announcements corporate disclosure Discontinuity Earnings earnings announcements Earnings forecasting financial analysts informed trading option prices Panel data scheduled news Scheduling Securities analysis Uncertainty Volatility
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