ODS is the preferred way to get results output to files.
Try: (The FILE= should start with a drive or mount point, otherwise the output (location) is subject to interesting results).
Make sure the spelling in the path matches your system as well.
ods excel file="/c/myfolder/Results/all.xlsx";
proc means data = dataset_jumps_pa;
var exc_retadj spread size annualized_standev;
title All: Return (paper vol);
run;
ods excel close;
There are a lot of options that may apply to the output but this should get you started.
Alternatively you could send output from Proc Means output to a data set and export that. However that data set may not appear as you want.