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dc.contributor.authorHo, Thang
dc.contributor.authorKagkadis, A.
dc.contributor.authorWang, G.
dc.date.accessioned2023-09-20T13:33:08Z
dc.date.accessioned2023-10-05T10:54:59Z
dc.date.available2023-09-20T13:33:08Z
dc.date.available2023-10-05T10:54:59Z
dc.date.issued2024-03
dc.identifier.citationHo T, Kagkadis A and Wang G (2024) Is firm-level political risk priced in the equity option market? The Review of Asset Pricing Studies. 14(1): 153-195.en_US
dc.identifier.urihttp://hdl.handle.net/10454/19599
dc.descriptionYes
dc.description.abstractWe 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 get compensated with high returns when major unexpected political shocks take place.en_US
dc.language.isoenen_US
dc.publisherOxford University Press
dc.rights© The Author 2023. Published by Oxford University Press on behalf of The Society for Financial Studies. This is an Open Access article distributed under the terms of the Creative Commons Attribution-NonCommercial License (http://creativecommons.org/licenses/by-nc/4.0/), which permits non-commercial re-use, distribution, and reproduction in any medium, provided the original work is properly cited. For commercial re-use, please contact journals.permissions@oup.com
dc.subjectPolitical risk
dc.subjectOption returns
dc.subjectBrexit
dc.subjectJump risk
dc.subjectIntermediary constraints
dc.titleIs firm-level political risk priced in the equity option market?en_US
dc.status.refereedYes
dc.date.application27/10/2023
dc.typeArticle
dc.type.versionAccepted manuscript
dc.identifier.doihttps://doi.org/10.1093/rapstu/raad013
dc.rights.licenseCC-BY-NCen_US
dc.date.updated2023-09-20T13:33:11Z
refterms.dateFOA2023-10-05T10:55:25Z
dc.openaccess.statusopenAccess
dc.date.accepted11/11/2022


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