We test whether investor disagreements and private information in the market impact the demand for, and the pricing of, insurance sought by investors before earnings announcements (EAs). Using a large sample of straddle returns, we find higher EA variance risk premiums (VRPs) for firms with a...

This paper examines how changes in firms’ risk disclosures affect a key market measure of risk. Our proxy for changes in risk disclosures is the addition and removal of individual risk factors to firms’ 10-K annual filings, identified via textual analysis of the risk factors section. Our...