find on a daily basis, an abnormally high volatility only within one day following the overnight announcement. On an … intraday basis, a striking volatility spike stands out during the overnight period, implying that the earnings news is fully … reflected in the opening price. The continued high volatility during the first several minutes of trading seems to be driven by …

. We find positive straddle returns are more pronounced for smaller firms, firms with higher volatility, higher kurtosis …