Citations (6)



Stock Price Jumps and Cross-Sectional Return Predictability

George J. Jiang

Washington State University

Tong Yao

University of Iowa - Henry B. Tippie College of Business

March 1, 2012

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming

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 lights on stock return dynamics and present challenges to conventional explanations of stock return predictability.

Number of Pages in PDF File: 45

Keywords: stock return predictability, firm characteristics, stock price jumps, asset pricing theory

JEL Classification: G12, G14

Open PDF in Browser Download This Paper

Date posted: September 25, 2008 ; Last revised: February 27, 2013

Suggested Citation

Jiang, George J. and Yao, Tong, Stock Price Jumps and Cross-Sectional Return Predictability (March 1, 2012). Journal of Financial and Quantitative Analysis (JFQA), Forthcoming. Available at SSRN: http://ssrn.com/abstract=1273450 or http://dx.doi.org/10.2139/ssrn.1273450

Contact Information

George Jiang
Washington State University ( email )
Department of Finance and Management Science
College of Business
Pullman, WA 99-4746164
United States
509-3354474 (Phone)
HOME PAGE: http://www.cb.wsu.edu/directory/profile.cfm?emp=jiang_george
Tong Yao (Contact Author)
University of Iowa - Henry B. Tippie College of Business ( email )
108 Pappajohn Business Building
Iowa City, IA 52242-1000
United States
Feedback to SSRN

Paper statistics
Abstract Views: 2,702
Downloads: 1,040
Download Rank: 13,151
Citations:  6
People who downloaded this paper also downloaded:
1. Investor Sentiment Aligned: A Powerful Predictor of Stock Returns
By Dashan Huang, Fuwei Jiang, ...

© 2016 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollobot1 in 0.469 seconds