The surprise effect: Measuring the behavior of option implied volatilities around corporate earnings announcements

Additional Metadata
Keywords	Implied volatility, Options, Market efficiency, Earnings annoucements, Transparency, Arbitrage
Thesis Advisor	Wang, Y., Fu, R.
Persistent URL	hdl.handle.net/2105/23080
Series	Finance & Investments
Organisation	Rotterdam School of Management
Citation APA Style AAA Style APA Style Cell Style Chicago Style Harvard Style IEEE Style MLA Style Nature Style Vancouver Style American-Institute-of-Physics Style Council-of-Science-Editors Style BibTex Format Endnote Format RIS Format CSL Format DOIs only Format	Post, F.H.L. van der. (2011, March 31). The surprise effect: Measuring the behavior of option implied volatilities around corporate earnings announcements. Finance & Investments. Retrieved from http://hdl.handle.net/2105/23080

The surprise effect