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

Institute of Finance

Date: 27 September 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





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.