Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 3, 2022 erstellt
Description:
This paper hypothesizes that if an earnings announcement fails to resolve uncertainty about the firm’s future outcomes, then management will take steps to further inform investors. The novelty of our approach consists of our empirical proxy for unresolved uncertainty, constructed using a standardized change in implied volatilities around an earnings announcement date (EAD), and establishing its linkage with voluntary disclosures contained in subsequent 8-K reports and management guidance. We first document a robust positive relation between unresolved uncertainty and forecast frequency, informativeness, bad news disclosures, and timeliness of disclosures. We support this finding through cross-sectional evidence, which suggests that such a relationship is more pronounced when managers have an information advantage, when they are more likely to notice option market information, and when firms' earnings announcements attract more market attention. Finally, we show that firms that actively provide voluntary disclosure after EAD with high unsolved uncertainties experience larger drop in uncertainties. Overall, our results show the importance of second-moment information from the option market and provides new evidence on managerial learning from markets