Journal Article Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics Get access Suzanne S. Lee, Lee Search for other works by this author on: Oxford Academic Google Scholar Per A. Mykland The Review of Studies, Volume 21, Issue 6, November 2008, Pages 2535–2563, https://doi.org/10.1093/rfs/hhm056 Published: 09 December 2007

Journal Article Jumps and Information Flow in Financial Markets Get access Suzanne S. Lee Georgia Institute of Technology Search for other works by this author on: Oxford Academic Google Scholar The Review Studies, Volume 25, Issue 2, February 2012, Pages 439–479, https://doi.org/10.1093/rfs/hhr084 Published: 10 October 2011

We demonstrate that time stamps reported in I/B/E/S for analysts’ recommendations released during trading hours are systematically delayed. Using newswire-reported stamps, we find 30-minute returns of 1.83% (-2.10%) upgrades (downgrades), but this subset corresponding -0.07% (-0.09%) using I/B/E/S-reported stamps. also examine the information content relative to management guidance and earnings announcements. Our evidence suggests most important disclosure channel examined.

This paper introduces a new nonparametric jump test for continuous-time asset pricing models. It distinguishes arrival times and realized sizes in prices as precisely at intra-day levels. We demonstrate the likelihood of misclassification jumps discrete data becomes negligible when we use high-frequency returns. explore real-time dynamics using U.S. individual equity through test, find empirical evidence that arrivals are associated with both pre-scheduled earnings announcements unscheduled...

Abstract This article examines how realized variances predict cryptocurrency returns in the cross section using intraday data. We find that cryptocurrencies with higher exhibit lower subsequent weeks. Decomposing total into signed jump and jump-robust reveals negative predictability is attributable to positive variances. The pricing effect more pronounced for smaller prices, less liquidity, retail trading activities, sentiment. Our results suggest markets are unique because investors...

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

We introduce a new nonparametric jump test for continuous-time asset pricing models. It distinguishes actual arrivals and different sizes of jumps. Asymptotic distribution the statistics is provided, we demonstrate that it desirable to use high-frequency data. explore dynamic intensity structure through test, find empirical evidence clustering in foreign currency exchange markets. Its implication financial risk management, particular value at risk, also discussed.

Recent asset pricing models incorporate jump risk through Levy processes in addition to diffusive risk. This paper studies how detect stochastic arrivals of big and small jumps with new nonparametric tests. They allow for robust analysis on their separate characteristics facilitate better estimation return dynamics. Empirical evidence based our tests suggests that both individual equities overall market index require Levy-type due finding many as well jumps. also offers a resolution the...

Asset prices we observe in the financial markets combine two unobservable components: equilibrium and market microstructure noise. In this paper, study how to tell apart large shifts underlying from noise using high frequency data. We propose a new nonparametric test which allows us asymptotically remove observable price data discover jumps fundamental asset values. provide its asymptotic distribution decide when such occur. finite samples, our offers reasonable power for distinguishing...

This paper investigates the predictability of jumps in currency markets and shows implications for carry trades. Formulating new jump analyses, we propose a general method to estimate determinants sizes intensities. We employ large panel high-frequency data reveal significant predictive relationships between national fundamentals. In addition, identify intraday patterns such as multiple clustering time-of-day effects. U.S. macroeconomic information releases - particularly FOMC announcements...

Asset prices we observe in the financial markets combine two unobservable components: equilibrium and market microstructure noise. In this paper, study how to tell apart large shifts underlying from noise using high frequency data. We propose a new nonparametric test which allows us asymptotically remove observable price data discover jumps fundamental asset values. provide its asymptotic distribution decide when such occur. finite samples, our offers reasonable power for distinguishing...

This paper investigates how jump risks are priced in currency markets. We find that currencies whose changes more sensitive to negative market jumps provide significantly higher expected returns. The positive risk premium constitutes compensation for the extreme losses during periods of turmoil. Using empirical findings, we propose a modified carry trade strategy, which has approximately 2-percentage-point (per annum) returns than regular strategy. These findings result from fact betas...

I study how realized idiosyncratic jumps play a role in pricing individual stocks. find that stocks with high variances associated positive tend to have low subsequent returns. To explain the negative premium, show jump are important predictors for future skewness. Thus, my finding is consistent investors' preference unusually large gains over short horizons. demonstrate economic significance of results by highlighting superior performance strategy based on compared strategies other variance...

This paper examines the fundamental role of security analysts as information intermediaries using recent advances in realized variance literature. We construct a signal-to-noise volatility ratio to capture efficiency contribution analysts' recommendations while controlling for noise price data. find that only revisions with greater generate significant stock reactions directions expected by analysts. Revisions increase informed trading options market and reduce not uncertainty about covered...

We investigate intraday return dynamics in currency markets around FOMC announcements. Using comprehensive high-frequency exchange rate data, we find that volatility associated with negative jumps predicts post-FOMC announcement drifts occur between 12 and 24 hours after the These delayed tend to be at large magnitudes, cancelling out approximately 65% of positive pre-FOMC returns. This behavior is more pronounced for news high jump volatilities persist relatively illiquid markets. Our...

This paper examines the fundamental role of security analysts as information intermediaries using recent advances in realized variance literature. We construct a signal-to-noise volatility ratio to capture efficiency contribution analysts' recommendations while controlling for noise price data. find that only revisions with greater generate significant stock reactions directions expected by analysts. Revisions increase informed trading options market and reduce not uncertainty about covered...