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- W2885802163 abstract "Abstract In this study, we used informational advantage in the options market to investigate whether the option-implied equity risk developed by Chen, Chung, and Tsai (2016) - viewed as a type of time-varying beta - can help explain both the Hou and Moskowitz (2005) price delay premium and post-earnings announcement drift (PEAD). Our empirical results revealed a clear association between quintile portfolios with greater price delay premiums and higher option-implied betas, while the Fama-MacBeth regressions showed that the implied betas are positively related to future delay-based portfolio returns. Regarding the PEAD, we discerned a general increase in the mean of portfolio option-implied betas with standardized unexpected earnings portfolio drift. Our regression results support the notion that a portfolio’s PEAD can be viewed as compensation for the variations in option-implied betas." @default.
- W2885802163 created "2018-08-22" @default.
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- W2885802163 date "2020-11-01" @default.
- W2885802163 modified "2023-09-27" @default.
- W2885802163 title "Price delay and post-earnings announcement drift anomalies: The role of option-implied betas" @default.
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- W2885802163 doi "https://doi.org/10.1016/j.najef.2018.07.005" @default.
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