Lottery Preference and Skewness Risk Premium: Evidence From the Chinese Market
研究中国股市中偏度风险的定价，发现隐含偏度分解后上偏度有显著负溢价，归因于散户的彩票偏好，且在高情绪期更明显。
ABSTRACT This study investigates the pricing of skewness risk in cross‐sectional returns in the Chinese stock market, considering the substantial presence of retail investors and their potential lottery‐related preferences. We decompose the total implied skewness, derived from the Shanghai Stock Exchange 50 exchange‐traded fund options, into upper and lower components. Our findings reveal that the upper implied skewness carries a significantly negative price, whereas the lower implied skewness is positively but only weakly priced. The opposite predictability resolves the pricing puzzle associated with total implied skewness, which exhibits negligible cross‐sectional predictability. The negative premium associated with upper skewness is attributed to retail investors' lottery preferences, as stocks exposed to higher upper skewness risk tend to perform well during right‐tail market events. This behavioral interpretation is further supported by evidence showing that the negative premium on upper implied skewness is most pronounced during high‐sentiment periods, even after controlling for standard risk factors.