... to the skewness of returns that the disclosure creates. I then show that this skewness can be measured using a weighted change in option-implied return skewness leading up to the disclosure’s release. The measure’s ability to capture investors’ prior beliefs regarding asymmetry is advantageous when studying...

...Xiao-Jun Zhang ABSTRACT: This study demonstrates that stocks with low book-to-market ratios, also known as glamour stocks, have significantly more positive skewness in their return distributions compared to the return distributions of value stocks with high book-to-market ratios. The premium...