Non-Diversifiable Volatility Risk and Risk Premiums at Earnings Announcements
This study seeks to determine whether earnings announcements pose non-diversifiable volatility risk that commands a risk premium. We find that investors anticipate some earnings announcements to convey news that increases market return volatility and pay a premium to hedge this non-diversifiable ris...
| Main Authors: | , |
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| Format: | Article |
| Language: | en_US |
| Published: |
American Accounting Association
2017
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| Online Access: | http://hdl.handle.net/1721.1/111118 https://orcid.org/0000-0002-9345-2123 |