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Firm characteristics and jump dynamics in stock prices around earnings announcements

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  • Zhou, Haigang
  • Zhu, John Qi

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.

Suggested Citation

  • Zhou, Haigang & Zhu, John Qi, 2019. "Firm characteristics and jump dynamics in stock prices around earnings announcements," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    • Handle: RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940819302980
    DOI: 10.1016/j.najef.2019.101003
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