Title
Earnings announcement saliency and option trading
Document Type
Article
Publication Date
5-24-2021
Abstract
The purpose of this study is to investigate option trading before earnings announcement dates as a function of report saliency. We define report saliency as the number of firms announcing earnings on the same day as an examined firm. We find that overall option trading volume is higher, option trading volume increases substantially near earnings announcement dates, and that investors trade more puts than calls when earnings announcements have higher visibility. Additional analyses indicate that these patterns are more pronounced for smaller firms and relate to investors buying and holding downside risk protection before salient earnings announcements.
Language
English
DOI
https://doi.org/10.1002/rfe.1137
Recommended Citation
Adams, Tom and Neururer, Thaddeus, "Earnings announcement saliency and option trading" (2021). Department of Accounting Faculty Work. 25.
https://digitalcommons.lasalle.edu/accounting_faculty/25
Comments
This article is the authors' final published version in Review of Financial Economics, Volume 40, January 2022, Pages 44-62.
The published version is available at https://doi.org/10.1002/rfe.1137. Copyright © University of New Orleans