Before revision:  We prove that asset prices do not exhibit predictable jumps if and only if there is no possibility of obtaining sure profits via high-frequency limits of buy-and-hold trading strategies .
After revision:  We prove that asset prices do not exhibit predictable jumps . This result relies on the general theory of processes and provides the most general formulation of the well-known fact that, in an arbitrage-free financial market, asset prices (including dividends) should not exhibit jumps of a predictable direction or magnitude at predictable times .