The variance risk premium (VRP) reflects the degree of risk aversion of investors and the overestimation of the probability of extreme losses. We examine a variety of variance risk premiums, including both the upside and downside variance risk premiums, in the Chinese stock market. We find that...

This paper investigates the predictability of the economic policy uncertainty (EPU) on factor returns in the Chinese market. We find that the EPU significantly and negatively predicts the size premium (i.e., SMB, small-minus-big returns) in both short and long horizons. However, such results are...