Measuring Risk Information
从期权定价模型推导出一个衡量信息事件如何影响投资者风险预期的指标，用公司盈利公告验证其预测能力，并揭示简单使用期权隐含波动率变化的缺陷。
ABSTRACT We develop a measure of how information events impact investors' expectations of risk. The measure is broadly applicable and simple to implement. We derive it from an option‐pricing model, where investors anticipate an announcement that simultaneously conveys information on the announcer's expected future cash flows and risk profile. We empirically implement the measure using firms' earnings announcements, showing that it closely aligns with our model's predictions and offers strong forecasting power for firms' risk profiles, costs of capital, and future investments. We further highlight pitfalls of using simple changes in option‐implied volatilities to study information gleaned from earnings announcements. Finally, we apply our measure to study disclosure regulation, the efficacy of text‐based proxies, and market‐wide events, which we use to illustrate our measure's uses, and illuminate its potential limitations.