Recent evidence shows that option volatility skews and volatility spreads between call and
put options predict equity returns. This study investigates whether such predictive ability is …

There is sufficient evidence in the popular, legal, and financial literatures that informed
options trading ahead of scheduled and unexpected corporate events is pervasive. In this …

This paper uses option prices to learn about the equity price uncertainty surrounding
information released on earnings announcement dates. To do this, we introduce reduced …

We commemorate the 50th anniversary of Ball and Brown [1968] by chronicling its impact on
capital market research in accounting. We trace the evolution of various research paths that …

Quarterly earnings conference calls convey fundamental information, as well as manager
and analyst opinion about the firm. We examine how market uncertainty regarding firm …

This paper examines how changes in risk disclosures affect uncertainty about risk. We
measure changes in risk disclosures using the addition and removal of individual risk factors …

The authors studied the complex relationship between information supply and demand
using newspaper articles and web searches that reflect investors' crash fears. They report …

This paper investigates the source of price momentum in the stock market using information
from options markets. We provide direct evidence of the gradual information diffusion model …

We describe a model that predicts an asymmetric impact of disclosure on investor
uncertainty. We show that good news tends to resolve more uncertainty than bad news, and …

This paper examines the empirical literature on individual equity options, discussing results
in areas of consensus, showing findings in areas of disagreement and providing a guide for …