Prior research documents that volatility spreads predict stock returns. If the trading activity of informed investors … is an important driver of volatility spreads, then the predictability of stock returns should be more pronounced during … major information events. This paper investigates whether the predictability of equity returns by volatility spreads is …

predictions of RPH: (1) we do not find a positive correlation between the implied volatility changes and earnings surprises; and … most positive earnings surprises. Using volatility based option trading strategies (straddles), we examine if option …

21% (47%) of abnormal volatility (trading volume) associated with an average macroeconomic release. The returns earned … announcements’ contribution to index-level volatility has been relatively stable over our sample period from 2004 to 2018, while we … observe a drastic decrease in the volatility explained by macro announcements. The latter is consistent with a growing …

volatility around quarterly earnings announcements. Using US data during 1996-2010, we observe that lower (higher) accounting … quality significantly relates to higher (lower) levels of implied volatility (IV) around announcements. Worse accounting … significant impact on implied volatility behavior around earnings announcements …

behavior of the term structure of implied option volatility around earnings announcements. By employing a large sample of US … significantly associated with stronger (weaker) changes in the steepness of the term structure of implied volatility curve around …

increase in market uncertainty measured by implied volatility. Inconsistent earnings news has a larger effect on market …

This study seeks to determine whether earnings announcements pose non-diversifiable volatility risk that commands a … volatility and pay a premium to hedge this non-diversifiable risk. In particular, we find evidence of risk premiums embedded in … announcements pose non-diversifiable volatility risk. In addition, we find that volatility risk premiums are concentrated among …

earnings announcements. Using implied volatility from option prices to proxy for uncertainty about firm fundamentals, we find a … significantly positive association between changes in the implied volatility of each industry's first announcer and its peers around …