Title
Earnings announcement timing, uncertainty, and volatility risk premiums
Document Type
Article
Publication Date
7-15-2020
Abstract
We examine the relationship between firms’ quarterly earnings report timing and uncertainty before quarterly earnings announcements. Prior research provides conflicting predictions on how investor uncertainty and report timing are related. Using implied volatilities from equity options and the realized returns to straddle positions, we find evidence that uncertainty and volatility risk premiums are higher for firms that report later in the quarter. Further tests show that the increase in option premiums is unexplained by risk factors suggesting a mispricing by investors. These results are not associated with static firm-level factors and our findings are concentrated in high growth firms.
Language
English
DOI
https://doi.org/10.1002/fut.22150
Recommended Citation
Adams, Tom and Neururer, Thaddeus, "Earnings announcement timing, uncertainty, and volatility risk premiums" (2020). Department of Accounting Faculty Work. 26.
https://digitalcommons.lasalle.edu/accounting_faculty/26
Comments
This article is the authors' final published version in Journal of Futures Markets, Volume 40, Issue 10, July 2020, Pages 1603-1630.
The published version is available at https://doi.org/10.1002/fut.22150. Copyright © John Wiley & Sons, Inc.