Realized Jump Risk and Equity Return in China

Table 12

Forecasting one-month-ahead individual-based portfolio returns using realized jump volatility-based factor model with cross-term of its jump components.

Size	𝐶	Size_RJV	Arr_RJV	Std_RJV	𝑃size	𝑃Arr	𝑃Std	Std∗Arr	Size∗Arr	Adj.𝑅^2
1	0.091	1.139	−0.612	−10.041	−0.146	0.028	−15.147	5.862	0.194	0.020
2	0.146	4.829*	−1.439*	−74.502	−0.734	0.156	−27.168**	295.313	−9.148	0.103
3	0.058	2.062	−0.491	−18.227	0.070	0.000	−23.763*	8.667	−2.071	0.017
4	0.111	3.156	−0.946	−45.107	−0.560	0.032	−23.857*	146.138	−4.150	0.040
5	0.099	2.762	−0.756	−40.191	−0.021	−0.054	−28.734**	145.713	−4.528	0.042

Size 1 to size 5 portfolios are arranged in the order of capitalization. Size 1 is the largest-cap portfolio, while size 5 is the smallest-cap portfolio. The numbers in the table are coefficients, and “*”, “**”, and “***” represent 10%, 5%, and 1% significance levels.