Liu, Hong; Mao, Yingdong; Tang, Xiaoxiao; Zhou, Guofu - 2023
In this paper, we provide an estimate of the ex-ante risk premia on earnings announcements based on the option market … premia as a measure of uncertainty before each earnings announcement, we find that the earnings-returns relation is much … weaker when the uncertainty is high. The well-documented positive post-earnings-announcement drift (PEAD) is present only …