Prior research shows that splitting firms earn positive abnormal returns and that they experience an increase in stock return volatility. By examining option-implied volatility, we assess option traders' perceptions on return and volatility changes arising from stock splits. We find that they do...

Focussing on earnings-related rather than different classes of corporate announcements as in Chae (2005), we examine trading volume behaviour and the role played by informed and uninformed investors around routine and nonroutine announcements. Prior to preliminary final earnings announcements,...