We examine whether there is intra-industry information transfer with respect to the second moment of returns around earnings announcements. Using implied volatility from option prices to proxy for uncertainty about firm fundamentals, we find a significantly positive association between changes...

Can an earnings announcement decrease disagreement about fundamentals while simultaneously increasing disagreement about price? Recent theory suggests the presence of short-horizon investors can lead to a polarization of higher-order beliefs about price (i.e., beliefs regarding the opinions of...