How to Measure the Uncertainty of Stock Prices around Earnings Announcement Days?
Stock prices often respond drastically to the information firms release to the market on quarterly earnings announcement dates (EADs) (see Figure 1). For instance, almost 20% of Google’s total annual volatility is accumulated on EADs. Estimating the stock market risk ex ante (before the news release) is difficult as each of these announcements is unique. … [Read more…]