Please refer to published version for the most recent bibliographic citation information. If a published version is known of, the repository item page linked to above, will contain details on accessing it.

To capture volatility risk, we use factors from VIX, VIX futures, and their basis. We find that portfolios with lower (higher) factor loadings on the market and volatility risk from in-sample time-series regressions, have persistent out-of-sample lower (higher) factor loadings. More importantly, by separating cases based on the sign of volatility changes, this study documents the existence of an asymmetric effect due to volatility shocks on asset returns. When volatility is shocked positively, there is a significantly negative relationship between factors associated with uncertainty and asset returns. Furthermore, after incorporating this asymmetric effect, volatility factors have significant risk premia in Fama-MacBeth crosssectional regressions.

This paper investigates whether and how the disclosure tone of earnings conference calls predicts future stock price crash risk. Using US public firms' conference call transcripts from 2010 to 2015, we find that firms with less optimistic tone of year-end conference calls experience higher stock price crash risk in the following year. Additional analyses reveal that the predictive power of tone is more pronounced among firms with better information environment and lower managerial equity incentives, suggesting that extrinsic motivations for truthful disclosure partially explain the predictive power of conference call tone. Our results shed light on the long-term information role of conference call tone by exploring the setting of extreme future downside risk, when managers have conflicting incentives either to unethically manipulate disclosure tone to hide bad news or to engage in ethical and truthful communication.

Please refer to published version for the most recent bibliographic citation information. If a published version is known of, the repository item page linked to above, will contain details on accessing it.

International audienceUsing firm-level option and stock data, we examine the predictive ability of option-implied volatility measures proposed by previous studies and recommend the best measure using up-to-date data. Portfolio-level analysis implies significant non-zero risk-adjusted returns on arbitrage portfolios formed on the call -- put implied volatility spread, implied volatility skew, and realized -- implied volatility spread. Firm-level cross-sectional regressions show that the implied volatility skew has the most significant predictive power over various investment horizons. The predictive power persists before and after the 2008 Global Financial Crisi