Stock Price Jumps and Return Predictability

摘要：

In a continuous-time framework, risk premium can only take the form of continuous drift and not the form of jumps. We use recently developed statistical techniques to identify jumps in stock prices, and examine the relation between jumps and cross-sectional stock return predictability associated with size, value, momentum, net stock issues, and liquidity e_ects. We _nd that stock price jumps can explain both the size and liquidity e_ects, and to a moderate extent the value premium. In contrast, the momentum and net stock issues e_ects are not driven by jumps. We further show that price jumps driving return predictability are not caused by regime shifts in risk. These _ndings provide an interesting perspective for evaluating risk-based and behavioral explanations of stock return predictability.

作者: George J.Jiang

作者单位: Department of Finance,Eller College of Management,University of Arizona,Tucson,Arizona, 85721-0108

会议类型: 国际会议

会议名称: 2007年中国国际金融年会

会议地点: 成都

会议语种:英文

在线出版日期: 2007-07-09（万方平台首次上网日期，不代表论文的发表时间）