Standard models of Bayesian updating predict a stronger investor reaction to new information when those investors are more uncertain about the firm. However, prior empirical literature has struggled to find widespread evidence in support of this prediction. This paper tests two explanations for...

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...

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...