Option Trading Activity, News Releases, and Stock Return Predictability

The authors thank Amber Anand, James Doran, Vyacheslav Fos, Travis Johnson (AFA discussant), Shimon Kogan, Michael Pagano, Allen Poteshman, Nitish Sinha (ITAM discussant), Thijs Van Der Heijden, Aurelio Vasquez, Wei Wu (MARC discussant), Nir Yehuda, and seminar participants at the 2016 American Finance Association (AFA) Meetings, the 2016 Mid-Atlantic Research Conference (MARC) in Finance, and the 2016 Instituto Tecnológico Autónomo de México (ITAM) Finance Conference for helpful comments and discussions; Thomson Reuters for providing the news data; Elijah DePalma for answering numerous questions about the data; and three anonymous referees, an anonymous associate editor, and Karl Diether, the editor, for helpful suggestions that greatly improved the paper. All errors are our responsibility.