Under very weak assumptions, the expected returns of European call options must be positive and increasing in the strike price. This paper investigates the returns to call options on individual stocks that do not have an ex-dividend day prior to expiration. The main findings are that over the...

This study investigates whether and how management earnings guidance influences expected negative jump risk implied in the options prices. Results suggest a significant negative link between the guidance issuance and jump risk. Regardless of the sign of forecast news, stocks with management...