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You discuss the behavior of stock prices after an earnings announcement. There is a significant amount of academic research on this topic (called post-earnings-announcement drift). It basically finds that stock prices tend to move sharply initially, but continue to gradually follow in the same direction as the initial move for several weeks thereafter. I'm ...


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Yes. Implied vol is (very loosely speaking) the risk neutral expectation of the realized volatility over the life of the option. A 10Y implied vol is an average over 10 years, and therefore is relatively immune to short term spikes. It is slowly varying, relative to a 1M vol which only captures spikes in short term sentiment. When the Vix (which is ...


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No. Not really. The term-structure of options IV can change shapes through the year. Sometimes short-term options have a higher IV sometimes long-term options have a higher IV. You can take a look at figure 1 from Egloff Leippold Wu (2012). They show for the aggregate market different shapes of the term-structure of IV (measured as the Variance Swap Rate) ...


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It depends on the timing of the expected price movement with respect to the report time, and the timing of the report. If you can say with very high certainty that the prices will move as you suspect, then you don't need to worry about diversification- you only need to buy one at a time, and only hold the stock you expect to be appreciating most quickly at ...


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What matters is not so much the EPS but the EPS growth, EPS growth stability and PE. Of course when looking at a historical series of EPS for a given stock you have to adjust the series for capital changes otherwise it is useless as you mentioned. In the end, when you buy a stock you buy a stream of future cash flows. The higher the net present value of ...


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Recently I found a book on earnings trading but did not have time to read thoroughly. Trading on Corporate Earnings News - John Shon I also had spent some time to see earnings surprise effects and it is a quite interesting but not easy to use topic. There is certainly a jump if the estimates and announced earnings have a large mismatch but the magnitude ...



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