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

Haixu Yu, Zhaohua Liu

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.


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DOI: https://doi.org/10.22158/se.v9n4p126

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