Diavatopoulos, Dean; Doran, James S.; Fodor, Andy; … - In: Journal of Banking & Finance 36 (2012) 3, pp. 786-802
We use option prices to examine whether changes in stock return skewness and kurtosis preceding earnings announcements provide information about subsequent stock and option returns. We demonstrate that changes in jump risk premiums can lead to changes in implied skewness and kurtosis and are...