Sangsang Liu

Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick

1 Washington Park

Newark, NJ 07102

United States

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Scholarly Papers (1)

1.

The Post Earnings Announcement Drift and Option Traders

Number of pages: 43 Posted: 14 Sep 2012 Last Revised: 16 Jan 2013
Suresh Govindaraj, Sangsang Liu and Joshua Livnat
Rutgers University - Rutgers Business School - Newark and New Brunswick, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and New York University
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Abstract:

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Post-Earnings Announcement Drift Anomaly, Risk Premium Hypothesis, Under-Reaction Hypothesis, Implied (Option) Volatility