AJAX jsonp entity issue

AJAX jsonp entity issue

I have a jQuery AJAX request that pulls jsonp data from another server. This data is passed to a callback function, and then the data is appended to a div. 

When viewed in Firebug, data appears as entities (as it is encoded in jsonp):

<p><strong>

but when viewed in the browser window, the HTML is displayed, rather than being rendered:

<p><strong>

I'm a bit confused, shouldn't the browser render entities as usual, or is there some type of additional processing required in jQuery when returning encoded data from a server via AJAX?