Accounting quality, information risk and implied volatility around earnings announcements

•Accounting accruals quality (AQ) is used as a proxy for corporate information risk.•AQ significantly affects option implied volatility around earnings announcements.•Worse AQ will increase equity option implied volatility before the announcement.•Worse AQ will decrease equity option implied volatil...

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Veröffentlicht in:	Journal of international financial markets, institutions & money institutions & money, 2015-01, Vol.34, p.188-207
Hauptverfasser:	Anagnostopoulou, Seraina C., Tsekrekos, Andrianos E.
Format:	Artikel
Sprache:	eng
Schlagworte:	Accounting Accounting quality Accruals quality Earnings announcements Financial accounting Impact analysis Implied volatility Information economics Information risk Investor uncertainty Personal finance Risk management Studies U.S.A Volatility
Online-Zugang:	Volltext
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