We develop a measure of how information events impact investors' perceptions of risk that is broadly applicable and simple to implement. We derive this measure from an option-pricing model where investors anticipate an announcement that simultaneously conveys information on the announcer's...

This study finds that the introduction of the Current Expected Credit Loss (CECL) model, which requires banks to estimate forward-looking loan loss provisions, is associated with a slower resolution of investor disagreement and uncertainty at earnings announcements. We interpret this finding to...

This study seeks to determine whether earnings announcements pose non-diversifiable volatility risk that commands a risk premium. We find that investors anticipate some earnings announcements to convey news that increases market return volatility and pay a premium to hedge this non-diversifiable...

We argue the earnings announcement premium is a measure of firm-specific uncertainty aversion. Our stylized model shows earnings announcements, as pure news events, are priced only if investors are uncertainty averse; further, the earnings announcement return is negatively correlated to future...

We show that 71% of the earnings announcement premium takes place before, rather than after, earning releases. We attribute this pattern to uncertainty resolution before earnings announcement, and provide compelling evidence that high uncertainty stocks experience more uncertainty resolution and...

In this paper, we examine the effect of economic policy uncertainty on reactions of capital market participants and the actions of corporate managers. In particular, we investigate two issues: 1) whether the economic policy uncertainty has a short-term and long-term impact on the interpretation...