Option-implied volatility and credit announcements: an event study approach = La volatilidad implícita en opciones y anuncios de crédito: estimacion via estudio de eventos

Manifestación

Autores
Identificador
870027
Fecha de publicación
2009
Forma obra
Tesis
Lugar de producción
2009
Idioma
inglés
Nota de edición
Digitalización realizada por la Biblioteca Virtual del Banco de la República (Colombia)
Materias
  • Ciencias sociales; Ciencias sociales / Economía
Notas
  • Colfuturo
  • © Derechos reservados del autor
  • Agencias de calificación de riesgo; Credit ratings; Financial options; Rating agencies; Opciones financeras; Rating de riesgo de crédito
  • The aim of this paper was to measure the effect of different credit-related events on the option implied volatility of several companies that belong to the Dow Jones Euro Stoxx 50 index list. Measuring the effect of credit events on volatility will augment on the already important body of literature that investigates the volatility-related phenomena; in particular those who research the effect of news on volatility.
    I find that, over the entire window around the credit events, there was a decrease in the implied volatility but that only the negative events have a statistically significant effect, which reflects the stronger information content of negative credit events researched by previous papers. I also found that this negative effect is mainly due to a strong “reversal” effect in the post-event 10-day period, where the negative effect is stronger and more statistically significant (particularly for the negative events).
    Furthermore, during the pre-event period there is not much evidence that supports any type of foresight of the market. My results also suggest that there is a difference between the behavior of the implied volatility when the events are outlook changes and credit reviews, and when the event is a rating change (downgrade/upgrade).
Enlace permanente
https://www.cervantesvirtual.com/obra/option-implied-volatility-and-credit-announcements-an-event-study-approach-la-volatilidad-implicita-en-opciones-y-anuncios-de-credito-estimacion-via-estudio-de-eventos-870027
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