While prior studies find that returns on option straddles are generally negative, we show that returns on straddles purchased prior to earnings announcements are actually positive. The earnings announcement impact is compounded when the pre-portfolio formation volatility is low (high) and the...

We find strong evidence that net insider selling is positively associated with future stock return volatility, consistent with insider selling increasing outside investors' uncertainty. The positive effect of net insider selling is significantly stronger when the volatility is measured around...

We document a very strong negative association between a firm's stock returns and previous housing price growth in the state where the firm is located. This relation is a long-term phenomenon, with much stronger effects at longer horizons than at shorter horizons. For the period 1979-2002, a...

A firm's long-term stock returns are negatively related to past growth in housing prices in the state where the firm is located. The housing price effect is persistent over time and robust to controlling for common risk factors, the long-term stock return reversal effect, changes in mortgage...

A firm's long-term stock returns are negatively related to past growth in housing prices in the state where the firm is located. The housing price effect is persistent, and robust to controlling for the long-term stock return reversal effect, changes in mortgage interest rates across the states,...

There is reliable evidence that managers smooth their reported earnings. If some firms manage earnings downwards (upwards) when they experience large positive (negative) earnings shocks and if investors have cognitive limits or are inattentive, then it is plausible that the post-earnings...