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 show that two novel measures of text sophistication, applied to strategy descriptions, encapsulate incremental information about hedge funds. Consistent with the linguistics literature, lexically diverse hedge funds, i.e, those that employ rich vocabulary, outperform, arbitrage prominent...