Realized Jump Risk and Equity Return in China

Table 5

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

Stock	𝐶	Size_RJV	Arr_RJV	Std_RJV	Adj.𝑅^2
600362	0.115***	0.977*	−0.760**	−9.494	0.047
600100	0.044	0.533	−0.357	−3.494*	0.010
600859	0.037	0.602*	−0.206	−14.241**	0.039