stronger during earnings announcements. Volatility spreads are measured by the implied volatility differences between pairs of …-day earnings announcement window, the abnormal returns to the quintile that includes stocks with relatively expensive call options …

We explore the impact of earnings announcements on equity markets, using intraday price data for the DJIA stocks. We … intraday basis, a striking volatility spike stands out during the overnight period, implying that the earnings news is fully … noise traders, given the one-minute returns uncorrelated with the overnight return. Using the standardized earnings surprise …