Options Market Implied Volatility and Voluntary Disclosure: Managerial Response to Uncertainty Following Earnings Announcements
研究发现约25%的公司在盈余公告后隐含波动率上升，管理者据此增加8-K自愿披露，且披露频率与波动率变化正相关，后续披露对投资者更有信息含量。
ABSTRACT This study examines how managers respond when earnings announcements fail to resolve investor uncertainty, as measured by changes in implied volatility in the options market. Using quarterly earnings announcements from 1996 to 2022, we document that approximately 25% of firms experience an increase in implied volatility following earnings releases, contrary to theoretical predictions. We hypothesize and find that managers learn from this options market feedback and respond with subsequent voluntary 8‐K disclosures. Specifically, firms with greater changes in implied volatility ( CHIV ) exhibit significantly higher voluntary disclosure frequencies, with a one standard deviation increase in CHIV resulting in a 3.7% increase in disclosure frequency. These subsequent disclosures are significantly more informative to investors, as measured by market reactions. Cross‐sectional analyses reveal this relationship is stronger when managers have higher stock‐price‐sensitive compensation ( Delta ), when earnings announcements attract greater market attention, and when external monitoring by institutional investors and analysts is more intensive. Using a matched‐sample analysis, we demonstrate that firms issuing subsequent voluntary disclosures experience greater reductions in implied volatility than similar non‐disclosing firms. Our evidence contributes to understanding the complementary relationship between mandatory and voluntary disclosure and highlights managers’ use of options market information feedback in disclosure decisions.