So Many Jumps, So Little News

This seminar is jointly organized by Actuarial Science & Mathematical Finance (ASMF) and Econometrics at the Amsterdam School of Economics, University of Amsterdam.

Abstract
This paper relates jumps in high frequency stock prices to firm-level, industry and macroeconomic news, in the form of machine-readable releases from Thomson Reuters News Analytics. Most relevant news, both idiosyncratic and systematic, leads quickly to price jumps, as market efficiency suggests they should. However, in the reverse direction, we find that the vast majority of intraday price jumps do not have identifiable public news that can explain them, in a departure from the ideal of a fair, orderly and efficient market. We show that jumps without news do not substantially correlate with observable proxies for asymmetric or private information, and that microstructure-driven variables have some limited power to help predict the occurrence of jumps without news. Joint paper with joint with Chen Xu Li and Chenxu Li)