The option market's anticipation of information content in earnings announcements

被引:28
作者
Billings, Mary Brooke [1 ]
Jennings, Robert [2 ]
机构
[1] NYU, Stern Sch Business, New York, NY 10012 USA
[2] Indiana Univ, Bloomington, IN USA
关键词
Information content of earnings announcements; Options; Volatility; Institutional ownership; Information environment; Return-earnings relation; EX-ANTE; RETURNS; ASSOCIATION; PRICES;
D O I
10.1007/s11142-011-9156-5
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We exploit information in option prices in order to study whether the ex post responsiveness of stock prices to earnings information is reflected from an ex ante, firm- and quarter-specific perspective. Specifically, we develop a measure of anticipated information content (AIC) that isolates the forecasted magnitude of the stock market's reaction to earnings information. We find that the AIC positively correlates with the ex post magnitude of the stock market sensitivity to unexpected earnings, increases with earnings persistence, firm growth prospects, the richness of firms' information environments and the presence of (and changes in) sophisticated ownership, and decreases with discount rates. Our paper sheds light on the role that earnings information plays in shaping option-market behavior and offers researchers an option-market approach to studying the responsiveness of stock prices to earnings information.
引用
收藏
页码:587 / 619
页数:33
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