Chulalongkorn University Theses and Dissertations (Chula ETD)
Other Title (Parallel Title in Other Language of ETD)
ผลตอบแทนของออฟชั่นในช่วงประกาศผลประกอบการในลอนดอน
Year (A.D.)
2020
Document Type
Independent Study
First Advisor
Tanawit Sae-Sue
Faculty/College
Faculty of Commerce and Accountancy (คณะพาณิชยศาสตร์และการบัญชี)
Department (if any)
Department of Banking and Finance (ภาควิชาการธนาคารและการเงิน)
Degree Name
Master of Science
Degree Level
Master's Degree
Degree Discipline
Finance
DOI
10.58837/CHULA.IS.2020.80
Abstract
While prior studies find that returns on straddles constructing before earning announcements are positive in U.S. equity option market, we further investigate and find that returns on straddle constructing before earning announcement are positive in London Stock Exchange either. The logic behind this positive return while return on straddles are generally negative is option traders underestimate volatility of upcoming earning announcement period due to recency bias.
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Recommended Citation
Thangchadakorn, Thanawat, "Option returns around earning announcement in London" (2020). Chulalongkorn University Theses and Dissertations (Chula ETD). 7596.
https://digital.car.chula.ac.th/chulaetd/7596