中文摘要：

本文基于最近发展起来的非参数高频数据波动估计和跳跃识别方法，将波动中的连续成分和跳跃成分分离开来，在月度频率上进行风险收益权衡和波动非对称性检验。文章得出以下几点结论：首先，中国股市的跳跃存在明显的聚类特征（特别是2008年左右），已实现方差所代表的市场整体风险对收益率并没有明显的解释效力；其次，跳跃成分对收益率有稳健的预测作用，跳跃波动与收益率负相关；最后，跳跃特别是负向跳跃更为准确地反映波动的非对称性，并可以提高对波动的预测效果。

英文摘要：

Based on the realized variance and jump detection method using high frequency data, the authors separate the continuous and the jump part of realized variance. After obtaining the time-varying estimates of jump measures, the paper empirically tests the risk-return trade-off and volatility asymmetry. It is found that, firstly, jump components display clustering pattern and contribute to overall realized variance significantly, especially during the 2008. Realized variance as a measure of market risk does not predict future return. Secondly, jumps play a robust and important role in predicting future return. Jump variation is negatively correlated with expected return. Thirdly, the jump parts, especially the negative jumps reflect the asymmetry of the volatility, which can also be used to effectively improve volatility forecast.