Journal article
Stock Price Jumps and Cross-Sectional Return Predictability
Journal of financial and quantitative analysis, Vol.48(5), pp.1519-1544
10/01/2013
DOI: 10.1017/S0022109013000513
Abstract
We identify large discontinuous changes, known as jumps, in daily stock prices and explore the role of jumps in cross-sectional stock return predictability. Our results show that small and illiquid stocks have higher jump returns to the extent that cross-sectional differences in jumps fully account for the size and illiquidity effects. Based on value-weighted portfolios, jumps also account for the value premium. On the other hand, jumps are not the cause of momentum or net share issue effects. The findings of our study shed new light on stock return dynamics and present challenges to conventional explanations of stock return predictability.
Details
- Title: Subtitle
- Stock Price Jumps and Cross-Sectional Return Predictability
- Creators
- George J. Jiang - Washington State UniversityTong Yao - University of Iowa
- Resource Type
- Journal article
- Publication Details
- Journal of financial and quantitative analysis, Vol.48(5), pp.1519-1544
- Publisher
- Cambridge University Press
- DOI
- 10.1017/S0022109013000513
- ISSN
- 0022-1090
- eISSN
- 1756-6916
- Number of pages
- 26
- Language
- English
- Date published
- 10/01/2013
- Academic Unit
- Finance
- Record Identifier
- 9984380481702771
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