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Option Strategies for Earnings Announcements: A Comprehensive, Empirical Analysis [NOOK Book]

Overview

By trading on corporate earnings, investors can reliably profit in both up and down markets, while avoiding market risk for nearly the entire quarter. In this book, two leading traders and portfolio managers present specific, actionable techniques anyone can use to capture these sizable profits. Ping Zhou and John Shon have performed an unprecedented empirical analysis of thousands of stocks, reviewing tens of millions of data points associated with option prices, earnings announcement returns, and fundamentals. ...
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Option Strategies for Earnings Announcements: A Comprehensive, Empirical Analysis

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Overview

By trading on corporate earnings, investors can reliably profit in both up and down markets, while avoiding market risk for nearly the entire quarter. In this book, two leading traders and portfolio managers present specific, actionable techniques anyone can use to capture these sizable profits. Ping Zhou and John Shon have performed an unprecedented empirical analysis of thousands of stocks, reviewing tens of millions of data points associated with option prices, earnings announcement returns, and fundamentals. Their massive analysis has identified consistent opportunities associated with focusing on the magnitude of the market’s reaction to earnings, not its direction. Option Trading Set-Ups for Corporate Earnings News offers concrete guidance for improving the likelihood of making correct forecasts, and managing the risks of incorrect forecasts. It introduces several ways to exploit option trading opportunities around earnings news, discuss crucial issues that most retail investors haven’t considered, and explore aspects of earnings-related option trading that have never been empirically examined and documented before. For example, they identify hidden patterns and potential opportunities based on valuation, industry, volatility, analyst forecasts, seasonality, and trades that immediately follow earnings announcements. Simply put, trading on earnings reports offers immense profit opportunities, if you know how. This book provides incontrovertible facts and detailed strategies, not just theories and anecdotes!
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Product Details

  • ISBN-13: 9780132947404
  • Publisher: Pearson Education
  • Publication date: 10/29/2012
  • Sold by: Barnes & Noble
  • Format: eBook
  • Edition number: 1
  • Pages: 240
  • File size: 9 MB

Meet the Author

Ping Zhou, Portfolio Manager and Senior Vice President at Neuberger Berman, specializes in portfolio theory, market anomalies, investor behavior, corporate finance, and risk management. Formerly Accounting Professor at City University of New York-Baruch College, he publishes extensively in leading academic and practitioner journals on equity investing. He holds a Ph.D. in Accounting from Georgia State University’s Robinson College of Business.

John Shon, Prof. of Accounting at Fordham’s Gabelli School of Business and Graduate School of Business Administration, has earned several grants and awards for his equity markets research and has published extensively in academic journals. He holds a Ph.D. in Accounting and an MBA from the University of Chicago’s Booth School of Business.
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Table of Contents

Preface xv
Part I: Introduction 1
Chapter 1: Earnings Announcements: Opportunities and Risks 3
Chapter 2: Option Strategies for Earnings Announcements: An Overview 11
Chapter 3: Liquidity Risk: Bid-Ask Spreads 23
Part II: Options Strategies for Earnings Announcements: Let the Data Speak 39
Chapter 4: Bullish Directional Trades 41
Chapter 5: Bearish Directional Trades 59
Chapter 6: Long Volatility Trades 79
Chapter 7: Short Volatility Trades 95
Chapter 8: Buy Volatility before Earnings Announcements 109
Chapter 9: Ride the Post-Earnings-Announcement Drift 121
Part III: Advanced Analysis: Improving the Odds of Winning 135
Chapter 10: Implied Volatility 137
Chapter 11: Historical Earnings Announcement Returns 151
Chapter 12: Market Capitalization 161
Chapter 13: Valuation 169
Chapter 14: Industry Effects 183
Chapter 15: Enhanced Strategies 195
Index 207
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Customer Reviews

Average Rating 4.5
( 5 )
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Sort by: Showing all of 5 Customer Reviews
  • Anonymous

    Posted October 7, 2014

    FlameWind and all Ze others

    FlameWind will always love you, ArcticStar. And I was just thinking about coming back. I will stay with you until you leave, in ThunderClan. I promise. And also, If you need any help in History, Im here for yah! History is my second best subject! [ Second to only science of course, but... I brought the periodic table to bed when I was five and well... lets just say that I should be in a college science corse. So History is my best. ] So... Im also Rosie and Storm plus BrindleKit in EmberClan, if you wanna talk with me there. Bye, my dear friend!<p>


    ~Devine~

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  • Anonymous

    Posted October 7, 2014

    Stormfang

    I hope you find the strength to drop RP entirely. <p>
    It's true that it is detrimental to grades and mental health. I've tried to quit thrice; however, the friends l made here are the ones l find l can't sever my bonds with. <p>
    Get contact information from those precious few, and then move on.

    Was this review helpful? Yes  No   Report this review
  • Anonymous

    Posted October 7, 2014

    Littlenose

    Dad. I know i died on such short notice. Im sorry it wasnt my fault. Ill miss you and fangkit wilo too. I just want you to kniw that even though i wasnt your biokogical son,i loved you like a father. ~littlenose and fNglit

    Was this review helpful? Yes  No   Report this review
  • Anonymous

    Posted October 9, 2014

    Stan & Co

    Hey, I will be coming back, but won't be on as much. Thanks for l of the sweet messages; it really touched my heart.<p>

    Stormfang, I'm sorry, but I will never try to get contact information from roleplayers (unless it's something like online games). I'm very private about that kind of thing, and I know others are too.<p>

    Flamewind, I really appreciate the offer, and thank you. But honestly, I only got a bad grade because I waited until the last minute to do it, and I wouldn't have if it hadn't been for roleplaying. I'm glad you might be coming back. &#9786 Arcticstar loves Flamewind very much, and hasn't gone a day without thinking of her. &hearts <p>

    Littlenose, Arcticstar has always thought of Littlenose as a son, even though they are technically not related. Firebloom has felt the same way, but with brother and sister rather than father and son, and will take care of Fangkit as well as she can.<p>

    I will still need to catch up on my schoolwork before completely returning, so I may not be posting much more today. However, I will (hopefully) gradually get better at finishing homework during the time I'm not roleplaying anyway so it won't interfere.<p>

    ~Stan & Co

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  • Anonymous

    Posted October 7, 2014

    Blazepaw

    Im sorry that happened. I respect that u wont b going on as much. Its sad you wont b on...ever since i started roling, i was always keeping an eye out for Spiritfur. I think ur what holds TreyClan together. (DONT TELL TREYSTAR) a future idea i have for u is...i hate to say it but... well what if u didnt role with as many chatacters? I know its hard but...if u think about it u wont b frantucally keeping up with them all. Just an idea. Hope things get better and i get to see u on again soon.


    Blazepaw the Survivor

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