Market volatility, market skewness, and the cross-section of expected returns in Chinese equity markets

doi:10.1080/00036846.2022.2140766

	Market volatility, market skewness, and the cross-section of expected returns in Chinese equity markets
	Liu, Qing 2; Wang, Shouyang 1; Sui, Cong 3
刊名	APPLIED ECONOMICS
	2022-11-17
页码	17
关键词	Volatility risk risk-neutral skewness options cross-sectional regression asymmetry
ISSN号	0003-6846
DOI	10.1080/00036846.2022.2140766
英文摘要	We examine the impact of upper (lower) market volatility and skewness risks on stock returns. Our results show that market volatility and skewness risks have no significant effect on future stock returns. However, when separately considering call and put options, we find a significantly negative relation between innovations in upper market volatility (skewness) extracted from call options and subsequent stock returns. Moreover, the results remain significant after controlling for other known factors included in the factor models or a battery of firm-level characteristics. Our research shows that call and put options contain different information, and are differently priced in the stock market. This study can help explain the inconsistent results of the recent papers on asset pricing about market volatility and skewness.
资助项目	National Natural Science Foundation of China[71971034] ; National Natural Science Foundation of China[71988101]
WOS研究方向	Business & Economics
语种	英语
出版者	ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
WOS记录号	WOS:000884660200001
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/60634]
专题	中国科学院数学与系统科学研究院
通讯作者	Sui, Cong
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 2.Beihang Univ, Sch Econ & Management, Beijing, Peoples R China 3.Dalian Maritime Univ, Sch Maritime Econ & Management, Dalian 116026, Peoples R China
推荐引用方式 GB/T 7714	Liu, Qing,Wang, Shouyang,Sui, Cong. Market volatility, market skewness, and the cross-section of expected returns in Chinese equity markets[J]. APPLIED ECONOMICS,2022:17.
APA	Liu, Qing,Wang, Shouyang,&Sui, Cong.(2022).Market volatility, market skewness, and the cross-section of expected returns in Chinese equity markets.APPLIED ECONOMICS,17.
MLA	Liu, Qing,et al."Market volatility, market skewness, and the cross-section of expected returns in Chinese equity markets".APPLIED ECONOMICS (2022):17.