Too Good to be True? An Analysis of the Options Market's Reactions to Earnings Releases
利用期权隐含的风险中性分布，研究了财报发布前后期权市场对极端事件的反应，发现好消息并未降低不确定性，而轻微坏消息反而增加了不确定性，左尾概率下降而右尾概率上升，表明投资者对好消息持怀疑态度。
Abstract Using option implied risk neutral return distributions before and after earnings announcements, we study the option market's reaction to extreme events over earnings announcements. While earnings announcements generally reduce short‐term uncertainty about the stock price, very good news does not reduce uncertainty and slightly bad news actually increases uncertainty. We also find that left tail probabilities decrease over earnings releases while right tail probabilities increase. We interpret these findings as evidence of maintained investor expectations that very good news is generally not released during earnings announcements, combined with skepticism in the form of lingering uncertainty at the release of such very good news.