Using option implied risk neutral return distributions before and after earnings announcements, we study the option market's reaction to extreme events over earnings announcements. While earnings announcements generally reduce short term uncertainty about the stock price, very good news does not...

We document value and momentum across thirteen well-known stock market anomalies. We find anomalies that have performed well in the past month continue to outperform those that have performed poorly by about 60bp per month. These results hold for both relative momentum and absolute momentum...