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 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...

In this paper, I investigate how variance risk premiums change as firms age. Negative variance risk premiums represent profits that, on average, accrue to traders willing to sell option protection to other investors. Although typical risk measures decrease as firms age, my results suggest that...