牛市贝塔与股票收益率

This paper proposes the concept of bull market risk, i.e., the time variation in the probability of a future bull market state, and explores whether it is priced. Since a bull spread option portfolio reflects investors’ ex-ante expectations about future bull market risk-neutral probability, its short-term return is used to measure bull market risk. This measurement, which belongs to the implied information method, aligns more closedly with the ex-ante attributes of risk and can avoid the Peso problem by using historical data. Based on China’s stock and option market data, the paper finds that bull market risk cannot be explained by traditional factor models. What’s more, an individual stock’s exposure to bull market risk, which is defined as bull beta, has a significantly robustly positive relation with its future return, indicating that bull market risk is priced in the cross-section.