Volatility Risk Premium, Return Predictability, and ESG Sentiment: Evidence from China’s Spots and Options’ Markets

Table 4

Summary statistics of excess returns and volatility risk premiums.

Variable	Mean	Median	Maximum	Minimum	Std. Dev.	Skewness	Kurtosis	Observations
Panel A: Daily
R^eetf	0.0130	0.0217	1.0015	−0.8233	0.2656	0.0406	3.6459	1217
R^emkt	−0.0188	−0.0068	0.9889	−0.7571	0.2497	0.1632	4.2350	1217
VOLRPbs	−0.0185	−0.0234	0.2016	−0.1933	0.0608	0.6081	4.5392	1217
VOLRPmf	−0.0305	−0.0407	0.2156	−0.1545	0.0556	1.2322	5.3456	1217
LVOLRPbs	−0.0440	−0.0687	0.4601	−0.3617	0.1414	0.8130	3.6226	1217
LVOLRPmf	−0.0889	−0.1019	0.4331	−0.4091	0.1335	0.6912	3.8351	1217
Panel B: Monthly
R^eetf	0.0146	0.0309	0.7435	−0.5955	0.2726	−0.2431	3.3056	60
R^emkt	−0.0204	0.0032	0.7393	−0.6039	0.2457	-0.1853	4.0055	60
VOLRPbs	−0.0207	−0.0286	0.1753	−0.1360	0.0648	0.8540	4.2305	60
VOLRPmf	−0.0179	−0.0258	0.1857	−0.1148	0.0600	1.5168	5.8098	60
LVOLRPbs	−0.0535	−0.0702	0.3229	−0.3109	0.1446	0.7252	3.2540	60
LVOLRPmf	−0.0649	−0.0734	0.4331	−0.4019	0.1428	0.7476	4.9371	60