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

earnings announcements. Using implied volatility from option prices to proxy for uncertainty about firm fundamentals, we find a … significantly positive association between changes in the implied volatility of each industry's first announcer and its peers around …

We evaluate the impact of complexity and content of new information on stock return volatility dynamics around 10-K … fillings. On average, return volatility increases by 0.4% in the first four weeks after the release of the report, followed by … reports. The effects are economically significant: an options-based investment strategy exploring the volatility dynamics …

We provide evidence that an option implied volatility-based measure predicts future absolute excess returns of the … return volatility shortly before these information events, and the volatility of excess stock returns around these two events …, and also trade on the expected volatility. In addition, we show that net straddle returns (after transaction costs) around …

I propose to use volatility to infer opportunistic insider sales. I argue that insider sales occurring when volatility … information from the market when the price is volatile; if uninformed investors speculate in the market, high volatility offers … China A-share market from 2008 to 2018. I find that insider sales that occur when volatility is low are more likely to be …

volatility around quarterly earnings announcements. Using US data during 1996-2010, we observe that lower (higher) accounting … quality significantly relates to higher (lower) levels of implied volatility (IV) around announcements. Worse accounting … significant impact on implied volatility behavior around earnings announcements …

higher daily volatility, and a lower Sharpe ratio. We also show that returns to trading based on excessively volatile …

This study finds that stock return volatility is higher during periods of high tax policy uncertainty (TPU), even after … return volatility is more pronounced where firms are characterized by greater variability in tax outcomes. We adopt a broad … participants. We also document that the effects of TPU are concentrated in systematic volatility. Overall our results suggest that …

volatility increases. The better-than-expected performance arises because unprofitable firms are distressed and volatile, their … equity resembles a call option on the assets, and call options value increases with volatility, all else fixed. Consistent … with this hypothesis, the profitability anomaly is stronger for distressed and volatile firms, and aggregate volatility …