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I propose a new two-stage semi-parametric test to investigate the predictability of stochastic jump arrivals in asset prices. The test allows us to pin down relevant information for jump prediction up to the intraday level. Based on the test, I find that systematic jumps in U.S. individual equity markets are likely to occur shortly after macroeconomic information release such as Fed's announcements, market jumps, employment reports, or initial jobless claims. I also present firm-specific jumpdoi:10.2139/ssrn.1571755 fatcat:jkvwiq6vmnetzlqtmjp37gycxu