Timeline for Practical way to estimate price sensitivity to unexpected earnings (i.e., post-earnings drift)?
Current License: CC BY-SA 3.0
4 events
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| May 26, 2017 at 22:21 | history | bounty ended | David Addison | ||
| May 26, 2017 at 3:21 | comment | added | drobertson | @DavidAddison I agree. This concept should be fairly simple to prove/disprove. With a fairly simple test, we should be able to either see a reduction of prediction error or not. Right now I am engaged in a project that has most of this data readily available. 10yrs of detailed options history and a reasonably robust earnings history. It wouldn't be a high priority, but I would be interested in the results if you feel like collaborating. | |
| May 25, 2017 at 23:48 | comment | added | David Addison | Using implied volatility as a proxy for expectations is a good idea. Like you, I would assume that IV should be inversely related to price elasticity to an earnings surprise. If I get any latitude in my personal time, I will definitely let you know if/when I can take on this research project. It seems like a low-hanging fruit where a) the mechanism is facile; c) persistence is robust; and, c) the data is readily available. | |
| May 24, 2017 at 7:59 | history | answered | drobertson | CC BY-SA 3.0 |