Title：Market Volatility and Skewness Risks in China

　　Schedule: Nov 3, Wed 12:00-1:00 PM

　　Location: Rm 315, Chengming Hall (诚明楼) & 腾讯会议 570 140 002

　　Abstract: We examine the pricing of risk-neutral market volatility and skewness risks in the cross-section of stock returns in China. We find that stocks with high exposures to innovations in market volatility or skewness exhibit low expected returns. Market volatility and skewness are economically important and commands risk premia of 2.31% and 1.89% per month, respectively. Contrary to the US, the negative risk premium of volatility is robust to different empirical settings, whereas that of skewness is sensitive to variations in testing methods. In spite of its relatively low contemporaneous correlation with market returns, our results support the hedging role of market volatility in China.

标题：中国市场波动和偏度风险　

摘要：我们研究了中国股票收益横截面中风险中性市场波动和偏度风险的定价。我们发现，在市场波动或偏度方面的创新风险高的股票表现出低预期回报。市场波动和偏度在经济上很重要，每月的风险溢价分别为 2.31% 和 1.89%。与美国市场不同，波动率的负风险溢价的结果在不同的实证设置下都是稳健的，而偏度的负风险溢价对测试方法的变化很敏感。由于其与市场回报的同期相关性相对较低，我们的结果支持其在中国市场中对波动的对冲作用。

Introduction：甄芳2017年5月在新西兰奥塔戈大学获得金融学博士学位，同年加入中央财经大学中国经济与管理研究院，现任金融学副教授。她的研究兴趣包括金融衍生品、数理金融等。论文已发表在Journal of Futures Markets, Pacific-Basin Finance Journal, International Review of Finance, Economic Modelling, Studies in Nonlinear Dynamics and Econometrics等国际期刊上。