Anticipating Uncertainty: Straddles around Earnings Announcements
研究发现，个股跨式期权在盈利公告前三天至公告日期间平均获得3.34%的正回报，表明投资者低估了盈利公告带来的不确定性，且该现象在小公司和高波动股票中更显著。
Straddles on individual stocks generally earn negative and significant returns. However, average at-the-money straddles from 3 days before an earnings announcement to the announcement date yield a highly significant 3.34% return. The positive returns on straddles indicate that investors underestimate the magnitude of uncertainty around earnings announcements. We find that positive straddle returns are more pronounced for smaller firms and firms with higher volatility, higher kurtosis, more volatile past earnings surprises, and less trading volume/higher transaction costs. This suggests that when firm signals are noisy, and/or when it is costlier to trade, investors underestimate the uncertainty associated with earnings announcements.