Inspired by the theory of social imitation (Weidlich 1970) and its adaptation to financial markets by the Coherent …

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 power is incremental to the information in historical volatility, financial …

increase in market uncertainty measured by implied volatility. Inconsistent earnings news has a larger effect on market …

market reaction from earnings announcements with greater abnormal implied volatility spread immediately before the EAD. By …