Firm characteristics and jump dynamics in stock prices around earnings announcements

We examine the contribution of firm characteristics to the cross sectional variations of jump dynamics in stock prices around a short window around earnings announcements. Using a snapshot approach to isolating the confounding effect of idiosyncratic informational shocks on triggering stock price discontinuities at daily frequency, we find firm-size, trading volume, turnover ratio, liquidity measures, and return volatility in both long-run and short-run all to be powerful determinants of jump activities both statistically and economically. For instance, we estimate a 38%–47% difference in the likelihood of jump occurrences between two otherwise identical firms whose log-sizes are two sample standard deviations apart. The results are robust to alternative model specifications, estimation methods, or sampling frequencies of the time series.