Realized Jump Risk and Equity Return in China

Table 9

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

	𝐶	Size_RJV	Arr_RJV	Std_RJV	𝑃size	𝑃Arr	𝑃Std	SMB	HML	Adj.𝑅^2
600362	0.150***	1.280**	−0.806**	−11.864	0.484*	−0.089	−35.944***	−0.049	−0.671	0.103
600100	0.067*	0.643*	−0.382	−3.764*	0.300	−0.110	−14.427	0.258	0.027	0.015
600859	0.047	0.882*	−0.260	−15.119**	0.118	−0.011	−19.235**	0.597*	0.133	0.123