The Predictive Power of Options: Implied Volatility and Volume Dynamics Around Corporate Earnings
Author: Phat Diep
Advisors: Veli Safak, Serkan Akguc
Institution: Carnegie Mellon University in Qatar
This paper examines whether pre-earnings option market signals predict post-earnings stock returns, focusing on implied volatility and trading volume dynamics.
When the Government Closes: Economic Responses to Federal Shutdowns
Author: Phat Diep
Institution: Carnegie Mellon University in Qatar
This paper examines the immediate economic effects of U.S. federal government shutdowns using high-frequency data from the Weekly Economic Index (WEI), applying an event-study methodology to show that shutdowns cause a statistically significant short-term decline in real economic activity, with the largest impact occurring in the first full week after shutdown onset.