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

Table 8

Summary statistics of subsample excess returns and volatility risk premiums.

Variable	Mean	Median	Maximum	Minimum	Std. Dev.	Skewness	Kurtosis	Observations
Panel A: Daily
R^eetf	0.0483	0.0665	0.5311	−0.5027	0.1816	−0.2446	2.9953	461
VOLRPivix	−0.0236	−0.0282	0.1165	−0.1124	0.0427	0.7885	3.8563	461
VOLRPbs	−0.0065	−0.0141	0.1239	−0.1318	0.0457	0.4535	3.0753	461
VOLRPmf	−0.0388	−0.0451	0.1486	−0.1275	0.0468	0.8131	3.8654	461
LVOLRPivix	−0.0824	−0.0961	0.2391	−0.2924	0.1236	0.6632	2.7302	461
LVOLRPbs	−0.0183	−0.0501	0.4601	−0.2839	0.1478	0.6662	2.8325	461
LVOLRPmf	−0.1253	−0.1435	0.3481	−0.4091	0.1390	0.5793	3.1037	461
Panel B: Monthly
R^eetf	0.0792	0.0449	0.3822	−0.1865	0.1511	0.3919	2.2572	23
VOLRPivix	−0.0266	−0.0384	0.1099	−0.1100	0.0467	0.9979	4.6400	23
VOLRPbs	−0.0129	−0.0211	0.1053	−0.1052	0.0467	0.5598	3.4552	23
VOLRPmf	−0.0404	−0.0410	0.0333	−0.1148	0.0388	0.0196	2.6330	23
LVOLRPivix	−0.0903	−0.1243	0.2187	−0.2691	0.1287	0.8429	3.0372	23
LVOLRPbs	−0.0409	−0.0708	0.2436	−0.2340	0.1418	0.4955	2.1344	23
LVOLRPmf	−0.1322	−0.1286	0.0846	−0.4019	0.1222	−0.2210	2.6573	23