Stock Price Jumps and Cross-Sectional Return Predictability

2013 ◽  
Vol 48 (5) ◽  
pp. 1519-1544 ◽  
Author(s):  
George J. Jiang ◽  
Tong Yao
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Stock Return ◽  
Return Predictability ◽  
Value Premium ◽  
The Other ◽  
Stock Return Predictability ◽  
Cross Sectional ◽  
Return Dynamics

AbstractWe identify large discontinuous changes, known as jumps, in daily stock prices and explore the role of jumps in cross-sectional stock return predictability. Our results show that small and illiquid stocks have higher jump returns to the extent that cross-sectional differences in jumps fully account for the size and illiquidity effects. Based on value-weighted portfolios, jumps also account for the value premium. On the other hand, jumps are not the cause of momentum or net share issue effects. The findings of our study shed new light on stock return dynamics and present challenges to conventional explanations of stock return predictability.

scholarly journals Navigating the factor zoo around the world: an institutional investor perspective

2021 ◽  
Author(s):  
Söhnke M. Bartram ◽  
Harald Lohre ◽  
Peter F. Pope ◽  
Ananthalakshmi Ranganathan
Keyword(s):  
Stock Return ◽  
Institutional Investor ◽  
Return Predictability ◽  
Investment Strategies ◽  
Fixed Income ◽  
Stock Return Predictability ◽  
Cross Sectional ◽  
The World ◽  
Cast Doubt ◽  
Asset Classes

AbstractThe literature on cross-sectional stock return predictability has documented over 450 factors. We take the perspective of an institutional investor and navigate this zoo of factors by focusing on the evidence relevant to the practicalities of factor-based investment strategies. Establishing a sound theoretical rationale is key to identifying “true” factors, and we emphasize the need to recognize data-mining concerns that may cast doubt on the relevance of many factors. From a practical investment perspective, much of the factor evidence documented by academics may be more apparent than real. The performance of many factors is dependent on the inclusion of small- and micro-cap stocks in academic studies, although such stocks would likely be excluded from the real investment universe due to illiquidity and transaction costs. Nevertheless, a parsimonious set of factors emerges in equities and other asset classes, including currencies, fixed income, and commodities. These factors can serve as meaningful ingredients to factor-based portfolio construction.

Cross-sectional stock return predictability in China

2015 ◽  
Vol 23 (7-9) ◽  
pp. 581-605 ◽  
Author(s):  
Nusret Cakici ◽  
Kalok Chan ◽  
Kudret Topyan
Keyword(s):  
Stock Return ◽  
Return Predictability ◽  
Stock Return Predictability ◽  
Cross Sectional

scholarly journals International stock return predictability: Is the role of U.S. time-varying?

Empirica ◽  
2015 ◽  
Vol 44 (1) ◽  
pp. 121-146 ◽  
Author(s):  
Goodness C. Aye ◽  
Mehmet Balcilar ◽  
Rangan Gupta
Keyword(s):  
Stock Return ◽  
Return Predictability ◽  
Time Varying ◽  
Stock Return Predictability
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