이익공시가 ELW 내재 변동성에 미치는 영향에 관한 연구

The purpose of this study is to investigate the announcement effect of quarterly earnings on the implied volatilities of ELWs listed in the KSE. Previous studies suggest that derivatives can reflect new information faster into their prices than the underlying assets, and that option's implied volatility can predict the future volatility of the underlying asset returns. The ELW is a relatively new derivative product in the Korean market with functions almost same as those of options. This study attempts to examine how fast the new information about corporate profitability can be impounded in ELS implied volatility and whether there is any difference in the path in which implied volatility changes depending on such features as maturity, moneyness, the content of earnings and existence of earnings surprise. ELW's implied volatility tends to rise significantly both on the announcement day and the next day, and begins to fall subsequently. This trend seems more apparent in the OTM ELWs with heavy trading volumes. When the quarterly earnings are decreased relative to the previous year's level, ELW's implied volatility tends to rise higher by the announcement than the case of earnings increase. ELW's implied volatility also rises more with the news where the earnings results are not in line with the market expectation. In addition, this study also investigates the relation between the expected stock return and the ELW's implied volatility. This study documents a strong negative relation between changes in ELW's implied volatility and stock price. A rise in implied volatility causes the risk premium to increase and in turn stock price to fall. Overall, the price discovery function of ELW implied volatility is supported.