The State-Dependent Pricing of Panic Risk: Evidence from China's Stock Market
A real-time panic index combining price stress, investor holdings and drawdown pain reveals that exposure to panic innovations carries a negative return premium, larger during high-panic periods and persistent for weeks.
Featured in No. 137 on 30 Oct 2026 · 3 days after release
- Released
- 27 Oct 2026
- First featured
- No. 137 · 30 Oct 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 3 of 5
- Identifier
- SSRN 7675439
- Authors
- Bo Su and Guohao Tang
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).