Existing research often assumes that firms’ financial reporting choices influence their return comovement with other firms. We examine the validity of that assumption. First, we provide initial evidence suggesting that similarity in two firms’ disclosures not only predicts, but influences,...

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...