Higher-Order Moment Risk and ESG Sentiment: Evidence from China’s Options Market

Abstract

The relationship between risk and return is an important topic in financial research. In this paper, we investigate the factors affecting the higher-order moment risk premiums. The results indicate that there is a significant interaction between variance, skewness and kurtosis when considering risk premiums. This implies that there are both common and independent sources of risk information. In addition, ESG news sentiment has a significant positive effect on volatility risk premium.