We develop a measure of how information events impact investors' perceptions of risk that is broadly applicable and simple to implement. We derive this measure from an option-pricing model where investors anticipate an announcement that simultaneously conveys information on the announcer's...

This paper presents direct evidence that option price quotes do not contain any information about future stock prices beyond what is already reflected in current stock prices. We use trade and quote data for 39 liquid U.S. stocks and ETFs and options on them, and focus on events when the two...

We propose two new risk measures (i-beta and i-gamma) for a stock, which aim to distinguish between noise and information. Noise allows the stock price evolution to happen along a continuous path. Market wide economic information is transmitted via price jumps. Noise is idiosyncratic and does...

We use a series of different approaches to extract information about crash risk from option prices for the Euro-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB measures of Unconventional Monetary Policy. Several...

We examine whether the option market leads the stock market with respect to positive in addition to negative price discovery. We document that out-of-themoney (OTM) option prices, which determine the Risk-Neutral Skewness (RNS) of the underlying stock return's distribution, can embed positive...

In this research study, we develop a new measure based on the option market to address the information role of earnings announcement on uninformed traders. Enlightened by previous theoretical work by Kim and Verrecchia (1991, 1994) and empirical findings in Patell and Wolfson (1979, 1981), our...