We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps … microstructure model explains on average 47.7% of the total variation. Once jumps are filtered and parameters are estimated in real …-capitalization stocks traded on the Euronext-Paris Bourse. We find that, at tick frequency, the overnight return, the intraday jumps, and …

correlations over lower sampling frequencies, to account for non-synchronous trading. The efficiency gain of disentangling …