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

doi:10.1080/00036846.2022.2140766

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	Market volatility, market skewness, and the cross-section of expected returns in Chinese equity markets
	Liu, Qing 1; Wang, Shouyang 2; Sui, Cong 3
	2022-11-17
发表期刊	APPLIED ECONOMICS
ISSN	0003-6846
页码	17
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.
关键词	Volatility risk risk-neutral skewness options cross-sectional regression asymmetry
DOI	10.1080/00036846.2022.2140766
收录类别	SCI
语种	英语
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
WOS类目	Economics
WOS记录号	WOS:000884660200001
出版者	ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/60635
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.Beihang Univ, Sch Econ & Management, Beijing, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, 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.