Implied Standard Deviations and Post‐earnings Announcement Volatility
用期权价格隐含的标准差，研究年报盈利公告后波动性上升的模式，发现坏消息比好消息引起的波动上升更小且延迟一天，难解读的报告也会延迟波动上升，但坏消息的延迟效应更显著。
This paper investigates volatility increases following annual earnings announcements. Standard deviations implied by options prices are used to show that announcements of bad news result in a lower volatility increase than those of good news, and delay the increase by a day. Reports that are difficult to interpret also delay the volatility increase. This delay is incremental to that caused by reporting bad news, although the effect of bad news on slowing down the reaction time is dominant. It is argued that the delays reflect market uncertainty about the implications of the news.