Caporin, Massimiliano
[VerfasserIn]
;
Distaso, Walter
[Sonstige Person, Familie und Körperschaft];
Zambon, Nancy
[Sonstige Person, Familie und Körperschaft]
The Cross-Section of Expected Jumps in Equity Returns
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 3, 2019 erstellt
Beschreibung:
We investigate how individual equity prices react to stock specific expected jump components. We find that a portfolio buying stocks with negative expected jump component and selling stocks with positive expected jump component earns significant returns, equal to 51 basis points per month.The returns of the spread portfolio cannot be explained by traditional risk factors and are robust to different model specifications. Furthermore, the associated risk premium is very close to the average monthly return, and remains significant after controlling for portfolio characteristics