Table A.4 Open in new tab Jump’s...

Table A.4

Jump’s probability regressions on news releases

	Coef. (⁠ $10^{3}$ ⁠)	t-stat	p-value		Coef. (⁠ $10^{3}$ ⁠)	t-stat	p-value
$M_{t}^{1, τ = - 1}$	0.0336	1.68	0.09	$F_{t}^{1, τ = - 1}$	0.0308	1.55	0.12
$M_{t}^{1, τ = 0}$	0.0665	3.00	0.00	$F_{t}^{1, τ = 0}$	−0.0053	−0.24	0.81
$M_{t}^{1, τ = 1}$	0.0753	2.93	0.00	$F_{t}^{1, τ = 1}$	0.3180	2.8	0.01
$M_{t}^{1, τ = 2}$	0.0351	2.28	0.02	$F_{t}^{1, τ = 2}$	0.9957	10	0.00
$M_{t}^{1, τ = 3 : 5}$	−0.0188	−1.35	0.18	$F_{t}^{1, τ = 3 : 5}$	0.1600	2.4	0.02
$M_{t}^{2, τ = - 1}$	0.0051	0.26	0.80	$F_{t}^{2, τ = - 1}$	0.0134	1.29	0.20
$M_{t}^{2, τ = 0}$	0.0179	0.81	0.42	$F_{t}^{2, τ = 0}$	0.0188	1.41	0.16
$M_{t}^{2, τ = 1}$	0.0392	1.67	0.10	$F_{t}^{2, τ = 1}$	−0.0038	−0.25	0.81
$M_{t}^{2, τ = 2}$	0.0229	0.80	0.42	$F_{t}^{2, τ = 2}$	0.0283	1.54	0.12
$M_{t}^{2, τ = 3 : 5}$	−0.0210	−1.17	0.24	$F_{t}^{2, τ = 3 : 5}$	−0.0592	−2.31	0.02
$M_{t}^{3, τ = - 1}$	0.0323	1.18	0.24
$M_{t}^{3, τ = 0}$	0.0505	2.28	0.02
$M_{t}^{3, τ = 1}$	0.0815	3.2	0.00
$M_{t}^{3, τ = 2}$	0.6530	2.59	0.01
$M_{t}^{3, τ = 3 : 5}$	−0.0114	−1.22	0.22
Intercept	0.0443	2057	0.00
Controls	Yes
Firm-fixed	Yes
Time-fixed	No
# Obs.	8,399,706
$R^{2}$	1.49%

	Coef. (⁠ $10^{3}$ ⁠)	t-stat	p-value		Coef. (⁠ $10^{3}$ ⁠)	t-stat	p-value
$M_{t}^{1, τ = - 1}$	0.0336	1.68	0.09	$F_{t}^{1, τ = - 1}$	0.0308	1.55	0.12
$M_{t}^{1, τ = 0}$	0.0665	3.00	0.00	$F_{t}^{1, τ = 0}$	−0.0053	−0.24	0.81
$M_{t}^{1, τ = 1}$	0.0753	2.93	0.00	$F_{t}^{1, τ = 1}$	0.3180	2.8	0.01
$M_{t}^{1, τ = 2}$	0.0351	2.28	0.02	$F_{t}^{1, τ = 2}$	0.9957	10	0.00
$M_{t}^{1, τ = 3 : 5}$	−0.0188	−1.35	0.18	$F_{t}^{1, τ = 3 : 5}$	0.1600	2.4	0.02
$M_{t}^{2, τ = - 1}$	0.0051	0.26	0.80	$F_{t}^{2, τ = - 1}$	0.0134	1.29	0.20
$M_{t}^{2, τ = 0}$	0.0179	0.81	0.42	$F_{t}^{2, τ = 0}$	0.0188	1.41	0.16
$M_{t}^{2, τ = 1}$	0.0392	1.67	0.10	$F_{t}^{2, τ = 1}$	−0.0038	−0.25	0.81
$M_{t}^{2, τ = 2}$	0.0229	0.80	0.42	$F_{t}^{2, τ = 2}$	0.0283	1.54	0.12
$M_{t}^{2, τ = 3 : 5}$	−0.0210	−1.17	0.24	$F_{t}^{2, τ = 3 : 5}$	−0.0592	−2.31	0.02
$M_{t}^{3, τ = - 1}$	0.0323	1.18	0.24
$M_{t}^{3, τ = 0}$	0.0505	2.28	0.02
$M_{t}^{3, τ = 1}$	0.0815	3.2	0.00
$M_{t}^{3, τ = 2}$	0.6530	2.59	0.01
$M_{t}^{3, τ = 3 : 5}$	−0.0114	−1.22	0.22
Intercept	0.0443	2057	0.00
Controls	Yes
Firm-fixed	Yes
Time-fixed	No
# Obs.	8,399,706
$R^{2}$	1.49%

Notes: This table presents the full regression results for Equation (19) and Figure 6. The control variables include log market cap, book-to-market ratio, illiquidity ratio, and idiosyncratic volatility.

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