This paper examines the relation between firm-level implied volatility skew and the likelihood of extreme negative events, or crash risk. I show that volatility skew identifies which firms are likely to experience crashes, but only in short-window earnings announcement periods. The predictive...

The main purpose of this paper is to investigate whether more frequent disclosure by firms is associated with lower levels of information asymmetry among investors. Using a panel of 386 firms in the U.S. retail sector, I find that the practice of regularly providing monthly revenue disclosures...