经济
库存(枪支)
金融经济学
计量经济学
货币经济学
地理
考古
作者
James Johnson,Marcelo C. Medeiros,Bradley S. Paye
标识
DOI:10.1016/j.finmar.2022.100708
摘要
We characterize jump dynamics in U.S. stock market returns using a novel series of intraday prices covering almost 90 years. Jump dynamics vary substantially over time. Trends in jump activity relate to secular shifts in the nature of news. Unscheduled news often involving major wars drives jump activity in early decades, whereas scheduled news and especially news pertaining to monetary policy drives jump activity in recent decades. Jump variation measures forecast excess stock market returns, consistent with theory. Results support models featuring a separate jump factor, such that risk premium dynamics are not fully captured by volatility state variables. • We analyze the long-horizon dynamics of jump activity in stock returns. • We use a novel long history of intradaily price data. • We show that jump volatility and jump incidence rates vary considerably over a time period encompassing nearly 90 years. • Unscheduled news drives most equity jump activity historically. • The proportion of jumps attributable to scheduled announcements – especially monetary announcements – increases markedly in recent decades. • We connect variation in jump dynamics with time-variation in the equity premium. • Jump variation measures positively forecast aggregate excess stock returns, consistent with theoretical models featuring time-varying jump risk. • Our results support jump–diffusion models that decouple the dynamics of jump risk from those of diffusive return variation.
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