IFin Seminar, Hasan Fallahgoul - Monash University "What Drives Jumps in Stock Returns? The Role of News and Disagreement"

Institute of Finance

Date: 27.09.2022 / 12:25 - 13:40

Speaker Hasan Fallahgoul, Monash University

Title        What Drives Jumps in Stock Returns? The Role of News and Disagreement

Date       September 27, 2022

Time      12:25 - 13:40

Room    Zoom invitation

USI West Campus

 

 

 

Abstract

To explore determinants of jumps in stock returns, we decompose them into memoryless jumps (exogenous), jumps with memory from past jumps in stock (self-exciting), and market (cross-exciting). Using 164 million tweets from a social media investing platform, we find that in cross-section, disagreement and news tone are negatively related to the average jump intensity, while they have an opposite effect on jump-size distributions. Furthermore, a higher (lower) level of disagreement corresponds to a less (more) frequent exogenous and self-exciting jumps, while news tone is only related to self-exiting jumps (negatively). Finally, only investor attention (neither disagreement nor news tone) explains the jump intensity of cross-exciting jumps.