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 …

We develop a measure of how information events impact investors' perceptions of risk that is broadly applicable and … simultaneously conveys information on the announcer's expected future cash flows and risk profile. We empirically implement the … forecasting power for firms' risk-factor exposures, implied costs of capital, liquidity, and future investments. We also apply our …

This paper investigates the informational content implied in the risk-neutral distribution of the VIX, a leading … barometer of economic uncertainty. We extract the risk-neutral distribution from VIX option prices over the sample period from … whether the information implied in the risk-neutral distribution has predictive power. The risk-neutral distribution …

This study reveals the information content of individual investors' risk-adjusted return expectations. Although … risk-adjusted return expectations is predictive of future risk-adjusted stock performance. Stock purchases that investors …

We analyze how the materialization of climate risk in the institutional investors' portfolios spurs a propagation …

serial correlation and momentum trading on stocks with high predicted serial correlation. The trading strategy generates risk …

returns on two stocks. Only undiversifiable risk is rewarded with a premium and the undiversifiable risk of a diversified … priced risk factor. Because valuation uncertainty and arbitrage frictions are high for firms with poor AIQ, their stocks are …