The relative importance of information events: An ex ante perspective
基于期权定价研究的新进展，提出一种事前衡量信息事件相对重要性的指标，该指标能捕捉投资者对事件重要性的看法，而不受实际结果影响。可用于研究事件重要性如何影响公司决策，避免内生性问题。
Abstract We build on recent advances in options pricing research to propose a novel measure of the ex ante relative importance of information events. Our firm‐level measure captures the extent to which investors view an event as important, independent of its realized outcome. We first validate the measure and then demonstrate how it can be used to (1) study heterogeneity across firms in the relative importance of information events; (2) identify firms for which an event was important, even though the realized outcome did not result in a meaningful stock reaction; and (3) examine questions about how the importance of an event impacts firm decisions, where using realized return‐based measures of event importance would result in an endogeneity problem.