Stock Price Jumps and Cross-Sectional Return Predictability
研究发现股票价格中的跳跃（大幅不连续变化）能解释小盘股、低流动性股和价值股的溢价，但无法解释动量或净发行效应，挑战了传统收益可预测性理论。
Abstract We identify large discontinuous changes, known as jumps, in daily stock prices and explore the role of jumps in cross-sectional stock return predictability. Our results show that small and illiquid stocks have higher jump returns to the extent that cross-sectional differences in jumps fully account for the size and illiquidity effects. Based on value-weighted portfolios, jumps also account for the value premium. On the other hand, jumps are not the cause of momentum or net share issue effects. The findings of our study shed new light on stock return dynamics and present challenges to conventional explanations of stock return predictability.