This paper predicts and finds that investor uncertainty surrounding a key information release event—the earnings announcement—is decreasing in a firm's reporting streak. We use three proxies related to investor ex ante uncertainty and corresponding pricing of such uncertainty: option-implied...

We test whether investor disagreements and private information in the market impact the demand for, and the pricing of, insurance sought by investors before earnings announcements (EAs). Using a large sample of straddle returns, we find higher EA variance risk premiums (VRPs) for firms with a...

In this study, we examine negative skew premiums in the option equity markets around earnings announcements. Prior literature suggests stock returns are more negatively skewed on earnings dates but theoretical models suggest that anticipated price jumps should not carry a skew premium. We use...

This paper investigates alternative models of learning to explain changes in uncertainty surrounding earnings innovations. As a proxy for investor uncertainty, we use model-free implied volatilities; as a proxy for earnings innovations, representing signals of firm performance likely to drive...

This paper uses a novel empirical setting to explore the association between a firm's operational risk, managerial monitoring costs, and how managers are compensated. We investigate a sample of supplier firms that rely on a few large customers for the bulk of their revenues. We predict that...

This paper provides new empirical insights on the association between a firm's operating structure and the level of CEO equity incentives. We investigate a sample of supplier firms that rely on a few large customers for a significant fraction of their revenues. We predict that suppliers with a...

I investigate the relationship between past managerial guidance and realized variance risk premiums (VRPs) – i.e., the difference between implied and realized variance – in equity options around earnings announcements. I find that implied variances are lower before earnings announcements but...

This study tests the hypothesis that analyst information processing costs vary positively in the level of firms' environmental performance ratings. Based on proxies for analyst information processing costs (e.g., the number of stocks followed, frequency and timeliness of earnings revisions, the...

Equity analysts' earnings forecasts exclude dirty surplus income items, otherwise known as other comprehensive income (OCI). However, OCI affects firm value on a dollar-for-dollar basis and can enhance investors' understanding of the value and risk of firms' equity capital. Focusing on financial...

In this article, we present a multi-factor stochastic volatility framework for pricing European options based on independent component analysis. We fit this model to empirical data on exchange-traded options in order to create a consistent pricing and hedging mechanism for multi-asset...