Is Firm-Level Political Risk Priced in the Equity Option Market?

被引：4

作者：

Ho, Thang ^{[1
]}

Kagkadis, Anastasios ^{[2
]}

Wang, George ^{[2
]}

机构：

[1] Univ Bradford, Sch Management, Bradford, England

[2] Lancaster Univ Management Sch, Lancaster, England

来源：

REVIEW OF ASSET PRICING STUDIES | 2024年 / 14卷 / 01期

关键词：

CROSS-SECTION; POLICY UNCERTAINTY; STOCK RETURNS; VOLATILITY; EQUILIBRIUM; ILLIQUIDITY; CONSTRAINTS; INFORMATION; DEMAND; PREMIA;

D O I：

10.1093/rapstu/raad013

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We find a negative relation between firm-level political risk and future delta-hedged equity option returns. A quasi-natural experiment based on Brexit corroborates this finding since after the referendum there is a decrease in the option returns of the positive-Brexit exposure firms. The predictability is driven by the jump risk component of political uncertainty, is more pronounced in periods of high intermediary constraints, and is stronger among high-demand pressure options but weaker among politically active firms. Finally, consistent with a risk-based explanation, investors of options on politically risky firms are compensated with high returns when major unexpected political shocks happen. (JEL G13, G18)

引用

页码：153 / 195

页数：43

共 80 条

[21] The Asset-Pricing Implications of Government Economic Policy Uncertainty [J].