The relative importance of information events: An ex ante perspective

Michael Iselin, Andrew Van Buskirk

Research output: Contribution to journalArticlepeer-review

Abstract

We build on recent advances in options pricing research to propose a novel measure of the ex ante relative importance of information events. Our firm-level measure captures the extent to which investors view an event as important, independent of its realized outcome. We first validate the measure and then demonstrate how it can be used to (1) study heterogeneity across firms in the relative importance of information events; (2) identify firms for which an event was important, even though the realized outcome did not result in a meaningful stock reaction; and (3) examine questions about how the importance of an event impacts firm decisions, where using realized return-based measures of event importance would result in an endogeneity problem.

Original languageEnglish (US)
Pages (from-to)69-94
Number of pages26
JournalContemporary Accounting Research
Volume41
Issue number1
DOIs
StatePublished - Mar 1 2024
Externally publishedYes

Bibliographical note

Publisher Copyright:
© 2023 Canadian Academic Accounting Association.

Keywords

  • anticipated events
  • ex ante event importance
  • implied volatility
  • information

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