Previous research finds higher stock prices for firms with extended EPS meet-or-beat streaks benchmarked to analysts' forecasts. Due to the different persistence and reliability properties of firms' revenue and expenses, in this study, I test whether stock valuations are different when EPS...

In this study, we examine negative skew premiums in the option equity markets around earnings announcements. Prior literature suggests stock returns are more negatively skewed on earnings dates but theoretical models suggest that anticipated price jumps should not carry a skew premium. We use...

We test whether investor disagreements and private information in the market impact the demand for, and the pricing of, insurance sought by investors before earnings announcements (EAs). Using a large sample of straddle returns, we find higher EA variance risk premiums (VRPs) for firms with a...

In this paper, I investigate how variance risk premiums change as firms age. Negative variance risk premiums represent profits that, on average, accrue to traders willing to sell option protection to other investors. Although typical risk measures decrease as firms age, my results suggest that...