关键词: 波动率风险, 无模型隐含波动率, 已实现波动率, 资产定价

Abstract: This paper extracts the model-free implied volatility from the SSE 50 ETF option prices and verifies its information content. Based on the stochastic discount factor theory, we derive the formula to judge whether the volatility is a positive or negative systematic risk, and verify it from the aspects of volatility risk premium and correlation. Furthermore, we examine the pricing power of volatility in the cross-section stock returns in A-share market. The results show that: The model-free implied volatility subsumes all information contained in the BS implied volatility and most of the information contained in the historical volatility, thus is a more efficient predictor for future realized volatility; The volatility is a systematic risk factor, and there is a significant negative volatility risk premium; The portfolio analysis indicates that the stocks with high sensitivities to market volatility have lower returns in the future, the high-minus-low hedge portfolio returns are negative, and this negative relationship remains significant after controlling classical risk factors and changing the trading strategy; The Fama-MacBeth two-step method shows that the volatility risk is priced with a significantly negative value.

Key words: Volatility Risk, Model-free Implied Volatility, Realized Volatility, Asset Pricing