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 is the first study to examine the post-earnings-announcement drift anomaly in a Real Estate Investment Trust (REIT) context. The efficient markets hypothesis suggests that unexpected earnings should be fully incorporated into asset prices soon after being publicly announced. We hypothesize...

This paper investigates the impact of exogenous changes in individuals' perceived economic environment on their self-stated risk attitudes by exploiting changes in media coverage of economic news. We use information on risk attitudes from the German Socioeconomic Panel and combine it with data...

This paper investigates the impact of exogenous changes in individuals' perceived economic environment on their self-stated risk attitudes by exploiting changes in media coverage of economic news. We use information on risk attitudes from the German Socioeconomic Panel and combine it with data...

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

We study whether bond markets efficiently incorporate information about risk. Our results suggest that bond investors underreact to risk information embedded in earnings announcements. A one-standard deviation increase in unexpected risk is associated with a three-day abnormal bond return about...

We show that 71% of the earnings announcement premium takes place before, rather than after, earning releases. We attribute this pattern to uncertainty resolution before earnings announcement, and provide compelling evidence that high uncertainty stocks experience more uncertainty resolution and...

We examine the relationship between firms' quarterly earnings report timing and uncertainty before quarterly earnings announcements. Prior research provides conflicting predictions on how investor uncertainty and report timing are related. Using implied volatilities from equity options and the...

We argue the earnings announcement premium is a measure of firm-specific uncertainty aversion. Our stylized model shows earnings announcements, as pure news events, are priced only if investors are uncertainty averse; further, the earnings announcement return is negatively correlated to future...