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Explaining Stock Returns with Intraday Jumps
2011
Social Science Research Network
The presence of jumps in stock prices is widely accepted. In this paper, we explore the impact of jumps on the pricing of stocks by extracting the average jump size of individual stock returns from high-frequency data and examining the empirical relation with subsequent stock returns. Given that jump di¤usion models predict a negative relation between expected stock returns and the average jump size, our goal is to empirically con...rm that negative relation. We form ten portfolios based of the
doi:10.2139/ssrn.1929359
fatcat:pv7hytamszfj5idn65ms45lug4