Date of Submission
Open Access Senior Thesis
Bachelor of Arts
© 2017 Nathan M Arciniega-Adams
This study examines the relationship between company management guidance, and ex-ante crash risk over the duration of 2008(Jan 2006-Dec 2009) financial crisis using the implied volatility skew, which is based upon ex-ante volatility implied by the pricing model developed by Black-Scholes (1973). The study finds that over the duration of this crisis period, management guidance decreases with a rise in ex-ante crash risk. Further, the study provides evidence on the relationship of management guidance and earnings volatility, and how that is affected by a firm's industry product concentration based on the Herfindahl-Hirschman Index (HHI) score.
Adams, Gator, "Is Silence The Answer?" (2017). CMC Senior Theses. 1606.
Behavioral Economics Commons, Corporate Finance Commons, Econometrics Commons, Economic History Commons, Economic Theory Commons, Finance Commons, Finance and Financial Management Commons, Portfolio and Security Analysis Commons, Strategic Management Policy Commons