I investigate the relationship between past managerial guidance and realized variance risk premiums (VRPs) – i.e., the difference between implied and realized variance – in equity options around earnings announcements. I find that implied variances are lower before earnings announcements but...

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...