Option Pricing of Earnings Announcement Risks
利用期权价格研究盈利公告日前后股价的不确定性，提出简化模型分离公告相关波动与日常波动，发现公告风险在数量上显著且随时间变化，并能预测未来收益波动。
This paper uses option prices to learn about the equity price uncertainty surrounding information released on earnings announcement dates. To do this, we introduce reduced-form models and estimators to separate price uncertainty about earnings announcements from normal day-to-day volatility. Empirically, we find strong support for the importance of earnings announcements. We find that the anticipated price uncertainty is quantitatively large, varies across time, and is informative about the future return volatility. Finally, we quantify the impact of earnings announcements on formal option pricing models. Received April 13, 2017; editorial decision February 5, 2018 by Editor Stijn Van Nieuwerburgh. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.