We show that option-implied jump tail risk estimated prior to earnings announcements strongly predicts post …-earnings risk-adjusted abnormal stock returns. The predictive power of implied jump tail risk is particularly strong on extreme … for model-free implied moments of variance, skewness and kurtosis. We argue that the tail risk implied from options …

This study examines whether individualistic national culture is associated with stock price crash risk (“crash risk … individualistic cultural settings exhibit higher future crash risk. Digging deeper, we find that earnings management, excessive … managerial risk-taking, and investors' difference of opinion and overconfidence are all possible explanations for the positive …

show that abnormal coverage contains valuable information about individual firm ex-ante crash risk (proxied by implied … associated with a 5.5% decrease in the ex-ante crash risk. The abnormal coverage signal is more useful in firms with a more … assess crash risk of mispriced firms …