Realized Jump Risk and Equity Return in China

Table 7

Forecasting one-month-ahead individual-based portfolio returns using realized jump volatility-based factor model.

Size	𝐶	Size_RJV	Std_RJV	Arr_RJV	Adj.𝑅^2
1	0.073**	0.725	−13.634*	−0.379	0.011
2	0.120**	1.390**	−20.060	−0.823**	0.024
3	0.107**	1.132*	−26.017*	−0.539	0.016
4	0.099	1.117	−19.607	−0.588*	—
5	0.079	0.848	−11.404	−0.517	—