Option Trading, Price Discovery, and Earnings News Dissemination*
研究发现，季度盈利公告前四天期权交易量增加超过10%，交易方向预示后续盈利消息好坏，期权交易者普遍参与价格发现并传播盈利新闻。
Abstract. Option market activity increases by more than 10 percent in the four days before quarterly earnings announcements. We show that the direction of this preannouncement trading foreshadows subsequent earnings news. Specifically, we find option traders initiate a greater proportion of long (short) positions immediately before “good” (“bad”) earnings news. Midquote returns to active‐side option trades are positive during nonannouncement periods and are significantly higher immediately prior to earnings announcements. Bid‐ask spreads for options widen during the announcement period, but traders do not gravitate toward high delta contracts. Collectively, the evidence shows option traders participate generally in price discovery (the incorporation of private information in price), and more specifically in the dissemination of earnings news.