We use the process through which insider trading (SEC Form 4) filings are made public to investigate whether media coverage affects the way securities markets assimilate news. To do this, we utilize recent changes in disclosure rules governing insider trades as well as the initiation of coverage...

This paper examines the relation between firm-level implied volatility skew and the likelihood of extreme negative events, or crash risk. I show that volatility skew identifies which firms are likely to experience crashes, but only in short-window earnings announcement periods. The predictive...

Changes in bid-ask spreads are small around earnings announcements in general. However, there is evidence of a temporary increase in bid-ask spreads at the time earnings are announced for announcements that convey the most information, especially for announcements that are late and convey bad...

We provide new evidence on the role of management guidance in explaining earnings announcement-period returns. We show that guidance practices changed around the financial crisis in ways likely to affect the information content of guidance bundled with earnings. Managers provide guidance for a...