 Firm characteristics and jump dynamics in stock prices around earnings announcementsHaigang Zhou and John Qi Zhu The North American Journal of Economics and Finance, 2019, vol. 50, issue C Abstract: We examine the contribution of firm characteristics to the cross sectional variations of jump dynamics in stock prices around a short window around earnings announcements. Using a snapshot approach to isolating the confounding effect of idiosyncratic informational shocks on triggering stock price discontinuities at daily frequency, we find firm-size, trading volume, turnover ratio, liquidity measures, and return volatility in both long-run and short-run all to be powerful determinants of jump activities both statistically and economically. For instance, we estimate a 38%–47% difference in the likelihood of jump occurrences between two otherwise identical firms whose log-sizes are two sample standard deviations apart. The results are robust to alternative model specifications, estimation methods, or sampling frequencies of the time series. Keywords: Standardized unexpected earnings; Information shocks; Jump clustering; Instantaneous volatility; Regulation FD; Audited financial statements (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940819302980 DOI: 10.1016/j.najef.2019.101003 Access Statistics for this article The North American Journal of Economics and Finance is currently edited by Hamid Beladi More articles in The North American Journal of Economics and Finance from Elsevier |
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