Realized Jump Risk and Equity Return in China

Table 6

Forecasting one-month-ahead individual stock portfolio returns using realized jump volatility-based factor model with market-level jump components.

Stock	𝐶	Size_RJV	Arr_RJV	Std_RJV	𝑃size	𝑃Std	𝑃Arr	Adj.𝑅^2
600362	−0.04	6.024**	−0.02	−12.957**	5.045	−0.042	−33.608**	0.113
600100	0.072**	0.654*	−0.39	−3.818*	0.305	−0.108	−15.798	0.015
600859	0.057*	0.890**	−0.251	−15.176***	0.135	−0.014	−22.315***	0.104