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...

This paper examines how analysts incorporate other comprehensive income (OCI) and its components into their earnings forecasts. We first document that analysts’ one-year-ahead earnings forecasts are associated with OCI and OCI components having predictive ability; this suggests analysts (at...

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...