Professor Yacine Ait-Sahalia will give the seminar

So Many Jumps, So Little News

At the Department of Economics of the University of Verona,

on Friday, March 14, 2025, at noon (12 pm)

Via Cantarane 24, Vaona Room, 1st floor

It will be possible also to attend on Zoom here https://univr.zoom.us/j/93150650381

All the interested people are warmly invited to attend

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. We find that most relevant news, both idiosyncratic and systematic, lead quickly to price jumps, as market efficiency suggests they should. However, in the reverse direction, the vast majority of 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 correlate with observable proxies for asymmetric or private information, and that microstructure-driven variables have only limited power to help predict the occurrence of jumps without news.