| 正文 | We utilize the realized jump components to explore a new jump (including nonsystematic jump and systematic jump) risk factor
model. After estimating daily realized jumps from high-frequency transaction data of the Chinese A-share stocks, we calculate
monthly jump size, monthly jump standard deviation, and monthly jump arrival rate and then use those monthly jump factors to
explain the return of the following month. Our empirical results show that the jump tail risk can explain the equity return. For the
large capital-size stocks, large cap stock portfolios, and index, one-month lagged jump risk factor significantly explains the asset
return variation. Our results remain the same even when we add the size and value factors in the robustness tests. |
