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中文摘要：
本文选择沪深300中2008年至2012年之间数据完整的200个股数据,构建日度、周度、月度的跳跃风险指标,研究价格跳跃与未来实际收益间的关系。实证发现,跳跃风险的补偿结构存在明显的时变性：随着样本期变长,动量交易逐渐减少,价格反转越发显著。进一步,连续波动越大,跳跃风险也越大;连续波动率在价格波动平稳时与未来实际收益显著正相关,而连续波动较高时,只有跳跃风险显著,且其补偿结构表现稳定：负跳引发杀跌效应,而正跳后价格反转回落。
英文摘要：
This paper constructs daily,weekly and monthly jump risk factors with intraday jumps of 200 individual stocks selected from HS300 index based on data efficiency,and then analyzes their relation with future real return. We find a time-varying jump risk compensation structure： As sample length increases,momentum trading gradually decreases and price reversal becomes significant. Further study finds that high continuous volatility is associated with high jump risk. Continuous volatility is positively and significantly correlated with future real return only when it is low,and when it rises high,only jump risk is significant,and compensated with a stable structure：Negative jumps induce sell-losers effect while price reverses after positive jumps.
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