In the U.S. stock and options markets from January 1996 to December 2013, we examine whether information uncertainty … the portfolios held by one month. In our results, changes in information uncertainty are in tandem with changes in implied …, we provide novel evidence that the uncertainty of information concerning a firm's fundamental underlying volatility …

volatility spread – around significant information events such as earnings announcements and unscheduled corporate announcements …. They conclude that option traders have an information advantage over equity traders prior to a variety of information … presentation, including the distinction between information processing and information acquisition; the volatility measures used by …

Asset price processes are completely described by information processes and investors´ preferences. In this paper we … stylized facts that look at first hand like financial market anomalies may be explained by an information process with …

Asset price processes are completely described by information processes and investors' preferences. In this paper we … stylized facts that look at first hand like financial market anomalies may be explained by an information process with …

Asset price processes are completely described by information processes and investors´ preferences. In this paper we … stylized facts that look at first hand like financial market anomalies may be explained by an information process with …

This paper shows that the VIX market contains information on the variance of the S&P 500 returns, which is not already …