Yu, Bo; Mizrach, Bruce Marshall; Swanson, Norman R. - In: Econometrics 8 (2020) 2, pp. 1-52
We investigate the marginal predictive content of small versus large jump variation, when forecasting one …. Investors prefer stocks with a high probability of having positive jumps, but they also tend to overweight safer industries …, even when controlling for these variables. By analyzing earnings announcement surprises, we find that large jumps are …