Kim Christensen, Allan Timmermann, Bezirgen Veliyev
arXiv 13 Jan 2026 · Econometrics · publishedJournal of Financial Economics (2025) · 8 citations (OpenAlex)
arXiv:2601.08962 · PDF · DOI · OpenAlex · Extracted main text
Corporate earnings announcements unpack large bundles of public information that should, in efficient markets, trigger jumps in stock prices. Testing this implication is difficult in practice, as it requires noisy high-frequency data from after-hours markets, where most earnings announcements are released. Using a unique dataset and a new microstructure noise-robust jump test, we show that earnings announcements almost always induce jumps in the stock price of announcing firms. They also significantly raise the probability of price co-jumps in non-announcing firms and the market. We find that returns from a post-announcement trading strategy are consistent with efficient price formation after 2016.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Grégoire and Martineau (2022) How is earnings news transmitted to stock prices | 1.000 | 11 | 4 | 100% |
| 2 | Savor and Wilson (2016) Earnings announcements and systematic risk | 1.000 | 6 | 3 | 100% |
| 3 | Patell and Wolfson (1984) The intraday speed of adjustment of stock prices to earnings and dividend announcements | 0.928 | 5 | 3 | 80% |
| 4 | Barndorff-Nielsen and Shephard (2006) Econometrics of testing for jumps in financial economics using bipower variation | 0.860 | 11 | 5 | 64% |
| 5 | Christensen, Oomen, and Podolskij (2014) Fact or friction: Jumps at ultra high frequency | 0.855 | 8 | 6 | 62% |
| 6 | Jiang, Likitapiwat, and McInish (2012) Information content of earnings announcements: Evidence from after-hours trading | 0.843 | 4 | 4 | 75% |
| 7 | Jacod, Li, and Zheng (2019) Estimating the integrated volatility with tick observations | 0.843 | 4 | 3 | 75% |
| 8 | Lyle, Stephan, and Yohn (2021) The differential market reaction to pre-open versus post-close earnings announcements | 0.843 | 3 | 3 | 100% |
| 9 | Patton and Verardo (2012) Does beta move with news? Firm-specific information flows and learning about profitability | 0.843 | 3 | 3 | 100% |
| 10 | Andersen, Bollerslev, Diebold, and Vega (2003) Micro effects of macro announcements: Real-time price discovery in foreign exchange | 0.811 | 4 | 2 | 100% |
Showing the top 10 of 104 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | A nonparametric test for diurnal variation in spot correlation processes | 0.511 | 2 | 1 |