The Cross Section of Jumps around Earnings Announcements

48 Pages Posted: 7 Feb 2010 Last revised: 16 Apr 2010

See all articles by Haigang Zhou

Haigang Zhou

Cleveland State University - Nance College of Business Administration

John Qi Zhu

Date Written: March 14, 2010

Abstract

Jump dynamics vary greatly across stocks. However, little is known about the causes of such variations and their associations to various firm characteristics. Controlling for information shocks from quarterly earnings announcements, we examine cross-sectional determinants of jumps in stock prices and nd that small, illiquid, and growth firms with high trading volume, high turnover, and low return volatility are more susceptible to jumps. Moreover, the magnitude of jumps decreases with firm size, liquidity, return volatility, and book-to-market ratio, but increases with pre-announcement trading volume and turnover. The results are robust to alternative model specifications and estimation methods.

Keywords: Standardized unexpected earnings, SUE, information shocks, jump clustering, instantaneous volatility

Suggested Citation

Zhou, Haigang and Zhu, John Qi, The Cross Section of Jumps around Earnings Announcements (March 14, 2010). Available at SSRN: https://ssrn.com/abstract=1546422 or http://dx.doi.org/10.2139/ssrn.1546422

Haigang Zhou

Cleveland State University - Nance College of Business Administration ( email )

2121 Euclid Avenue
Department of Finance, BU 215
Cleveland, OH 44115-2214
United States

No contact information is available for John Qi Zhu

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