Quarterly earnings conference calls are becoming a more pervasive tool for corporate
disclosure. However, the extent to which the market embeds information contained in the tone (ie …

Prior studies find that the CBOE volatility index (VIX) predicts returns on stock market indices,
suggesting implied volatilities measured by VIX are a risk factor affecting security returns or …

This paper shows that a New Year's gambling preference of individual investors impacts
prices and returns of assets with lottery features. January call options, especially the out-of-the-…

Using computer based content analysis, we quantify the linguistic tone of quarterly earnings
conference calls for publicly traded Real Estate Investment Trusts (REITs). After controlling …

In this paper, we demonstrate the need for a negative market price of volatility risk to recover
the difference between Black–Scholes [Black, F., Scholes, M., 1973. The pricing of options …

We identify finance professors’ opinions on the efficiency of the stock markets in the United
States and assess whether their views on efficiency influence their investing behavior. …

Since the 1987 crash, option prices have exhibited a strong negative skew, implying higher
implied volatility for out‐of‐the‐money puts than at‐ and in‐the‐money puts. This has …

This study examined the impact on future asset returns of information contained in the implied
volatility skew. Future returns are linked to the discrepancy between call and put volatilities …

Current literature is inconclusive as to whether idiosyncratic risk influences future stock returns
and the direction of the impact. Earlier studies are based on historical realized volatility. …

We use option prices to examine whether changes in stock return skewness and kurtosis
preceding earnings announcements provide information about subsequent stock and option …