Following prior studies that suggest that option volume contains information about underlying stock prices, we examine option activity prior to earnings announcements. Results in this study show that put (call) volume relative to total option volume is higher prior to unfavorable (favorable)...

This paper shows that future risk-adjusted returns relate inversely with current short interest, current skewness, and the interaction between current short interest and current skewness. However, these relations vanish during the NASDAQ bubble, suggesting that synchronization risk (Abreu and...