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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.

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Spelling suggestions: "subject:"implies volatility smile"" "subject:"implies volatility smica""

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Is Silence The Answer?

Adams, Gator 01 January 2017 (has links)
This study examines the relationship between company management guidance, and ex-ante crash risk over the duration of 2008(Jan 2006-Dec 2009) financial crisis using the implied volatility skew, which is based upon ex-ante volatility implied by the pricing model developed by Black-Scholes (1973). The study finds that over the duration of this crisis period, management guidance decreases with a rise in ex-ante crash risk. Further, the study provides evidence on the relationship of management guidance and earnings volatility, and how that is affected by a firm's industry product concentration based on the Herfindahl-Hirschman Index (HHI) score.
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Financial Crisis
Crash Risk
Implied Volatility
Implied Volatility Smirk
Management Guidance
Behavioral Economics
Business
Corporate Finance
Econometrics
Economic History
Economics
Economic Theory
Finance
Finance and Financial Management
Portfolio and Security Analysis
Strategic Management Policy

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