Volatility Risk Premium, Return Predictability, and ESG Sentiment: Evidence from China’s Spots and Options’ Markets
Table 10
ESG sentiment effect on volatility risk premiums (OLS).
Dependent variable
(1) LVRPmf,t
(2) LVRPmf,t
(3) LVRPmf,t
(4) LVRPmf,t+h
(5) LVRPmf,t+h
(6) LVRPmf,t+h
ESG
0.0552
0.1249
(1.7704)
(3.8283)
E&S
0.0779
0.1548
(1.8140)
(3.4374)
G
−0.0016
0.0288
(−0.0944)
(1.5896)
TURN
0.4793
0.4808
0.4774
−0.0896
−0.0872
−0.0968
(11.3874)
(11.4157)
(11.3188)
(−2.0326)
(−1.9745)
(−2.1855)
PE
−0.0072
−0.0079
−0.0067
0.0004
−0.0008
0.0019
(−1.8415)
(−2.0001)
(−1.7147)
(0.1091)
(−0.2010)
(0.4559)
α
−0.1456
−0.1634
−0.1191
−0.1461
−0.1742
−0.0971
(−3.5634)
(−3.6156)
(−3.0948)
(−3.4164)
(−3.6767)
(−2.4025)
Adj. R2
0.1059
0.1060
0.1034
0.0140
0.0116
0.0037
Obs.
1156
1156
1156
1156
1156
1156
Note. The test statistics are reported with t-values in parentheses. ,, and indicate that the coefficient of regression is significant at the 10%, 5%, and 1% level, respectively.
