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- W2364697546 abstract "Based on the data of the Chinese A-share stocks from Feb.1997 to Jun.2009,the paper investigates the characteristics of volatility risk and its price with Fama-Macbeth method.The empirical study shows that volatility risk is a remarkable cross-sectional pricing factor and its risk price is negative.Introducing volatility risk to asset pricing model could partially explain size effect and B/M effect.The result is not affected by liquidity and market skewness,changing testing assets and the specification of volatility model.Volatility risk could manifest pricing information of some macroeconomic variables,and size factor is a proxy variable of volatility risk." @default.
- W2364697546 created "2016-06-24" @default.
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- W2364697546 date "2011-01-01" @default.
- W2364697546 modified "2023-09-24" @default.
- W2364697546 title "Volatility Risk and Its Price:the Evidence from Chinese A-Share Market" @default.
- W2364697546 hasPublicationYear "2011" @default.
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