{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,27]],"date-time":"2026-10-27T15:35:07Z","timestamp":1793115307323,"version":"4.5.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>This paper proposes a real-time panic index for the Chinese A-share market and uses it to price panic risk in the cross-section of stock returns. The index combines market-wide stress across prices, investor holdings, and information flows with a prospect-theory-based measure of portfolio drawdown pain. We find that exposure to panic innovations is negatively priced. The long-short spread is significant after excluding the smallest 30% of stocks and becomes substantially larger during high-panic periods. The premium accrues for at least four trading weeks and survives competing volatility, tail-risk and uncertainty betas and realistic trading costs. Following panic shocks, margin balances contract more where financing intensity is higher, consistent with a leverage channel. These findings highlight the importance of real-time information and competing short-horizon return characteristics for identifying state-dependent panic risk premia.<\/jats:p>","DOI":"10.2139\/ssrn.7675439","type":"posted-content","created":{"date-parts":[[2026,10,27]],"date-time":"2026-10-27T15:11:11Z","timestamp":1793113871000},"source":"Crossref","is-referenced-by-count":0,"title":["The State-Dependent Pricing of Panic Risk: Evidence from China's Stock Market"],"prefix":"10.2139","author":[{"given":"Bo","family":"Su","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-9231-0916","authenticated-orcid":true,"given":"Guohao","family":"Tang","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,27]],"date-time":"2026-10-27T15:11:12Z","timestamp":1793113872000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7675439"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7675439","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}