Using the generalized disappointment aversion model including market factors,volatil-ity factors and downside risk related factors,this paper studies the downside risks and their risk premiums,and empirically tests the pricing ability of this model for the Chinese assets.We take the firm characteristic-sorted portfolios and the stock and bond index portfolios as test assets separately.This paper finds that the impacts of volatility factor,downward state factor and volatility downward factor can not be ignored,and the generalized disappointment aversion model show certain universality.The risk premium of voltility factor,downward state factor and downward volatility factor are all negative,indicating that investors prefer assets with positive covariance between asset returns and the related factors,so they are willing to pay premium for them.Using different disappointment thresholds and volatility measurement methods,the generalized disappointment aversion model produces robust results.The introduction of down-side risk factors can effectively improve the ability of the model to explain the cross-sectional returns.In addition,disappointment threshold and the weight of market volatility corresponding to lower pricing error are also small,indicating that the disappointment thresholds of the Chinese investors are low,and they are more concerned about the decline of market returns than the rise of market volatility.
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万方数据
