This study examines whether PCAOB inspection reports succeed in providing a meaningful signal of audit quality. We find a statistically and economically significant market response to the issuances of 224 first-round and 134 second-round inspection reports between January 2005 and March 2010,...

The prevailing view of implied volatility comovements, IVC, defined as the correlation between a firm's implied volatility and the market's implied volatility, is that they indicate the presence of systematic volatility risk to the firm's investors. We take a different stance and conjecture that...

We investigate whether implied volatility comovements reflect the degree to which a firm’s private information is informative about future macroeconomic news. We compute IVC, the comovement of the implied volatilities between the firm and the aggregate market. IVC measures the extent to which...