Earnings Announcement Timing, Uncertainty, and Volatility Risk Premiums

56 Pages Posted: 5 Jun 2020 Last revised: 22 Jun 2020

See all articles by Tom Adams

Tom Adams

La Salle University

Thaddeus Neururer

University of Akron - The George W. Daverio School of Accountancy

Date Written: June 19, 2020

Abstract

We examine the relationship between firms’ quarterly earnings report timing and uncertainty before quarterly earnings announcements. Prior research provides conflicting predictions on how investor uncertainty and report timing are related. Using implied volatilities from equity options and the realized returns to straddle positions, we find evidence that uncertainty and volatility risk premiums are higher for firms that report later in the quarter. Further tests show the increase in option premiums is unexplained by risk factors suggesting a mispricing by investors. These results are not associated with static firm-level factors and our findings are concentrated in high growth firms.

Keywords: options, earnings announcements, announcement timing, volatility risk premiums, uncertainty

JEL Classification: G13, M40

Suggested Citation

Adams, Thomas and Neururer, Thaddeus, Earnings Announcement Timing, Uncertainty, and Volatility Risk Premiums (June 19, 2020). Available at SSRN: https://ssrn.com/abstract=3598135 or http://dx.doi.org/10.2139/ssrn.3598135

Thomas Adams

La Salle University ( email )

United States
2159511081 (Phone)

Thaddeus Neururer (Contact Author)

University of Akron - The George W. Daverio School of Accountancy ( email )

United States

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