This paper examines the information content in option prices and volatility surrounding analyst recommendation changes. The sample includes 7,549 recommendation changes of optionable stocks over the period January 1996 to December 2005. As expected, mean underlying asset returns are positive on...

Recent work has considered whether information is simultaneously reflected in both option and equity markets. We provide new evidence supporting Black's (1975) conjecture that information is first revealed in option markets. Specifically, changes in call and put open interest levels have...

This study investigates if changes in risk-neutral systematic volatility, skewness, and kurtosis, are priced, either symmetrically or asymmetrically, as systematic risk factors in the cross-section of stock returns. The moments are constructed using options on the S&P 500, and represent...

Using the risk-neutral volatility and skewness computed from options on the S&P500, we show there is an asymmetric contemporaneous relation between stock returns and changes in implied market volatility and skewness. Changes in expected market volatility and skewness are cross-sectionally priced...

Assuming a symmetric relation between returns and innovations in implied market volatility, Ang, Hodrick, Xing, and Zhang (2006) find that sensitivities to changes in implied market volatility have a cross-sectional effect on firm returns. Dennis, Mayhew, and Stivers (2006), however, find an...

While insurers manage underwriting risk with various methods including reinsurance, insurers increasingly manage asset risk with options, futures, and other derivatives. Previous research shows that buyers of portfolio insurance pay considerably for downside protection. We add to this literature...

Quarterly earnings conference calls are becoming a more pervasive tool for corporate disclosure. However, the extent to which the market embeds information contained in the tone (i.e. sentiment) of conference call wording is unknown. Using computer aided content analysis, we examine the...

Using computer based content analysis, we quantify the linguistic tone of quarterly earnings conference calls for publicly traded Real Estate Investment Trusts (REITs). After controlling for the earnings announcement, we examine the relation between conference call tone and the contemporaneous...

Corporate-level fraudulent activity has instilled a state of concern and heightened awareness in investors, the media and employees alike as perceived sensitivity to illegal behavior continues to increase. With corporate giants such as Enron, Tyco and Health South being prime examples of this...

Prior literature shows that the implied volatility spread between call and put options is a bullish signal for future returns on the underlying stocks. A common interpretation is that a high call-put implied volatility spread indicates favorable private information revealed by informed option...