Realized Jump Risk and Equity Return in China

Table 10

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

	𝐶	Size_RJV	Arr_RJV	Std_RJV	𝑃size	𝑃Arr	𝑃Std	Std∗Arr	Size∗Arr	Adj.𝑅^2
600362	0.167***	1.842**	−0.837**	−40.387*	0.513*	−0.112	−40.058**	129.012	−2.333	0.115
600100	0.087**	−0.185	−0.31	3.484	0.256	−0.113	−8.573	−51.175	2.044	0.018
600859	0.047	0.761	−0.249	−2.221	0.138	−0.009	−22.127***	−69.190	1.124	0.096