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

Abstract 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 p...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Review of asset pricing studies 2024-03, Vol.14 (1), p.153-195
Hauptverfasser:	Ho, Thang, Kagkadis, Anastasios, Wang, George
Format:	Artikel
Sprache:	eng
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!