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...

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...

We examine the relationship between firms' quarterly earnings report timing and uncertainty before quarterly earnings announcements. Prior research provides conflicting predictions on how investor uncertainty and report timing are related. Using implied volatilities from equity options and the...

We estimate the effect of information and ability spillovers on sell-side analysts' quarterly EPS forecast accuracy. Using a model that relates mean peer group ability along with the analyst's own ability to the analyst's forecast accuracy, we find that spillovers from peer analysts are large,...