Essays on announcements and asset pricing

This first essay develops a framework for understanding the impact of macro announcements on Treasury bond prices and Treasury bond options. Scheduled macro news increases the return volatility several times compared to days without announcements. I build a model that incorporates these announcement effects and use it to develop an estimation procedure to measure the ex-ante volatility of bond prices on announcement days using option prices. This paper advances the literature by introducing ex-ante estimators which had previously focused on the ex-post effects. I compare the distributions of the realized return volatility to the option-implied distribution to identify which announcements have the largest market impact. The results show that option markets generally predict the announcements that cause the greatest realized volatility of bond returns. In addition, I find evidence of a large jump risk premium. The macro news shocks implied from option prices are much larger than the realized volatility, almost twice as much in the case of the Employment Report.;The second essay is jointly authored work with Michael Johannes and uses option prices to learn about the uncertainty surrounding the fundamental information that is revealed on earnings announcement dates. To do this, we introduce a reduced-form model and estimators to separate the uncertainty over the information revealed on earnings dates from normal day-to-day volatility. The anticipated uncertainty estimators are easy to compute and rely only on option price information available prior to the announcement. Empirically, we find strong support for our reduced form specification. We find that the anticipated uncertainty is quantitatively large, it varies across time, and is informative about the future volatility of stock price movements. Finally, we quantify the impact of earnings announcements on formal option pricing models.