Earnings Volatility PDF Download
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Author | : Brian Johnson |
Publisher | : |
Total Pages | : 256 |
Release | : 2015-04-08 |
Genre | : Investment analysis |
ISBN | : 9780996182300 |
Download Exploiting Earnings Volatility Book in PDF, ePub and Kindle
Exploiting Earnings Volatility introduces an innovative new framework for evaluating, optimizing, and trading option strategies to profit from earnings-related pricing anomalies. Leveraging his extensive background in option-pricing and decades of experience in investment management and trading, Brian Johnson developed this inventive approach specifically to design and manage option earnings strategies. In an Active Trader article titled "Modeling Implied Volatility," Mr. Johnson introduced a formula for aggregating discrete volatility measures into a single metric that can be used with conventional option pricing formulas to accurately model implied volatility before and after earnings announcements. The practical application of this formula has profound implications for option trading and strategy development. Exploiting Earnings Volatility is written in a clear, understandable fashion and explains how to use this novel approach to 1) solve for the expected level of earnings volatility implicitly priced in an option matrix, 2) calculate historical levels of realized and implied earnings volatility, 3) develop strategies to exploit divergences between the two, and 4) calculate expected future levels of implied volatility before and after earnings announcements. Furthermore, Exploiting Earnings Volatility also includes two Excel spreadsheets. The Basic spreadsheet employs minimal input data to estimate current and historical earnings volatility and utilizes those estimates to forecast future levels of implied volatility around earnings announcements. The Integrated spreadsheet includes a comprehensive volatility model that simultaneously integrates and quantifies every component of real-world implied volatility, including earnings volatility. This powerful tool allows the user to identify the precise level of over or undervaluation of every option in the matrix and to accurately forecast future option prices and option strategy profits and losses before and after earnings announcements. The Integrated spreadsheet even includes an optimization tool designed to identify the option strategy with the highest level of return per unit of risk. Written specifically for investors who have familiarity with options, this practical guide begins with a detailed review of volatility and an explanation of the aggregate implied volatility formula. A separate chapter provides a conceptual and mathematical explanation of "True Greeks," accurate measures of risk and return sensitivity that reflect the real-world behavior of options. New option Greeks that are specific to earnings announcements are also introduced. Four chapters explain how to use the Basic and Integrated spreadsheets and two chapters document trade examples that use actual market data and analytical results from both spreadsheets to design a unique option strategy to exploit earnings-related pricing and volatility anomalies. The final chapter examines practical considerations and prospective applications of these innovative new tools. This book introduces a new analytical framework that may sound complicated at first, but is really quite intuitive. The formulas presented in the book are limited to basic high-school algebra. Mathematical relationships are also explained intuitively and depicted graphically. Most important, you will not need to perform any of these calculations manually. Exploiting Earnings Volatility includes a link to Excel spreadsheets that perform all of the calculations described in the book. The unique price and volatility behavior of options before and after discrete earnings announcements is an enigma to most option traders, even to many professionals. The aggregate volatility formula is relatively simple, but it has profound implications. When integrated with a real-world volatility model, it offers unique insights into earnings volatility, price behavior, option strategy construction, and prospective value-added opportunities.
Author | : Ilia D. Dichev |
Publisher | : |
Total Pages | : 0 |
Release | : 2012 |
Genre | : |
ISBN | : |
Download Earnings Volatility and Earnings Predictability Book in PDF, ePub and Kindle
Survey evidence indicates widely held managerial beliefs that earnings volatility is negatively related to earnings predictability. In addition, existing research suggests that earnings volatility is determined by economic and accounting factors, and both of these factors reduce earnings predictability. We find that the consideration of earnings volatility brings substantial improvements in the prediction of both short and long-term earnings. Conditioning on volatility information also allows one to identify systematic errors in analyst forecasts, which implies that analysts do not fully understand the implications of earnings volatility for earnings predictability.
Author | : |
Publisher | : |
Total Pages | : |
Release | : 2011 |
Genre | : |
ISBN | : |
Download Earnings Volatility and Its Consequences for Households Book in PDF, ePub and Kindle
Author | : Zane L. Swanson |
Publisher | : |
Total Pages | : |
Release | : 1999 |
Genre | : |
ISBN | : |
Download Earnings Volatility and the Value of Earnings Releases for Markets Book in PDF, ePub and Kindle
Prior research has conflicting findings concerning earnings volatility's effect on earnings releases to the stock market. In this paper, quot;volatilityquot; refers to the variability of accounting earnings information. For purposes of analysis, an option pricing model (OPM) framework is developed which shows that earnings directly associate with stock market price. This OPM model's characteristics indicate that higher (lower) accounting return volatilities will associate with lower (higher) market response coefficients to accounting earnings information. Empirical findings provide evidence that is consistent with this proposition. Recent earnings data (i.e., the previous four quarters) is sufficient to demonstrate a volatility effect on the earnings-return relation.
Author | : Dean Jolliffe |
Publisher | : W.E. Upjohn Institute |
Total Pages | : 319 |
Release | : 2008 |
Genre | : Business & Economics |
ISBN | : 0880993367 |
Download Income Volatility and Food Assistance in the United States Book in PDF, ePub and Kindle
The papers in this volume provide much needed focus and in depth coverage of the effect of income-volatility on the participation and design of food-assistance programs such as the Food Stamp Program and the National School Lunch Program.
Author | : Ping Zhou |
Publisher | : FT Press |
Total Pages | : 258 |
Release | : 2012-10-15 |
Genre | : Business & Economics |
ISBN | : 0132947404 |
Download Option Strategies for Earnings Announcements Book in PDF, ePub and Kindle
By trading on corporate earnings, investors can reliably profit in both up and down markets, while avoiding market risk for nearly the entire quarter. In this book, two leading traders and portfolio managers present specific, actionable techniques anyone can use to capture these sizable profits. Ping Zhou and John Shon have performed an unprecedented empirical analysis of thousands of stocks, reviewing tens of millions of data points associated with option prices, earnings announcement returns, and fundamentals. Their massive analysis has identified consistent opportunities associated with focusing on the magnitude of the market’s reaction to earnings, not its direction. Option Trading Set-Ups for Corporate Earnings News offers concrete guidance for improving the likelihood of making correct forecasts, and managing the risks of incorrect forecasts. It introduces several ways to exploit option trading opportunities around earnings news, discuss crucial issues that most retail investors haven’t considered, and explore aspects of earnings-related option trading that have never been empirically examined and documented before. For example, they identify hidden patterns and potential opportunities based on valuation, industry, volatility, analyst forecasts, seasonality, and trades that immediately follow earnings announcements. Simply put, trading on earnings reports offers immense profit opportunities, if you know how. This book provides incontrovertible facts and detailed strategies, not just theories and anecdotes!
Author | : Andrew Keene |
Publisher | : John Wiley & Sons |
Total Pages | : 260 |
Release | : 2013-07-29 |
Genre | : Business & Economics |
ISBN | : 1118590767 |
Download Keene on the Market Book in PDF, ePub and Kindle
A leading expert unveils his unique methodology for options trading Options provide a high leverage approach to trading that can significantly limit the overall risk of a trade or provide additional income. Yet, many people fail to capitalize on this potentially lucrative opportunity because they mistakenly believe that options are risky. Now options expert Andrew Keene helps aspiring investors to enter this sector by explaining the principles of the options market and showing readers how to utilize calls and puts successfully. Leading options expert Andrew Keene demystifies the basics of options trading Debunks the myth that call purchases are synonymous with being bullish and that put purchases are bearish Lays out in detail two distinct proprietary trading plans readers can follow Explains how to trade using market maker techniques and tricks from the trading floor to help with his probabilities in options trading Andrew Keene is best known for reading unusual options activity and seeing what others don't. Now he shares what he knows in a book that opens the opportunities of options trading to any investor.
Author | : Robert Resutek |
Publisher | : |
Total Pages | : |
Release | : 2011 |
Genre | : |
ISBN | : |
Download The Capital Market Consequences of Earnings Volatility Book in PDF, ePub and Kindle
Author | : |
Publisher | : |
Total Pages | : |
Release | : 2007 |
Genre | : |
ISBN | : |
Download Errors in Self-reported Earnings: the Role of Previous Earnings Volatility Book in PDF, ePub and Kindle
Author | : Robert A. Moffitt |
Publisher | : |
Total Pages | : 0 |
Release | : 2020 |
Genre | : |
ISBN | : |
Download Reconciling Trends in U.S. Male Earnings Volatility Book in PDF, ePub and Kindle
There is a large literature on earnings and income volatility in labor economics, household finance, and macroeconomics. One strand of that literature has studied whether individual earnings volatility has risen or fallen in the U.S. over the last several decades. There are strong disagreements in the empirical literature on this important question, with some studies showing upward trends, some downward trends, and some flat trends. Some studies have suggested that the differences are the result of using flawed survey data instead of more accurate administrative data. This paper provides an overview of a project attempting to reconcile these findings with four different data sets and six different data series--three survey and three administrative data series, including two which match survey respondent data to their administrative data. Using common specifications, measures of volatility, and other treatments of the data, the papers show almost uniformly a lack of any significant long-term trend in male earnings volatility over the last 30 years. Moreover, the survey and the administrative data almost entirely agree on that long-term stability when the comparison is done properly. Several possible explanations for the differing finds in past work are suggested by the papers. The stability of earnings volatility raises many questions for future research on trends in the U.S. labor market.