企业层面的政治风险是否在股票期权市场中定价?

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2023-10-27 DOI:10.1093/rapstu/raad013

Thang Ho, Anastasios Kagkadis, George Wang

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引用次数: 0

摘要

摘要本文发现企业层面的政治风险与未来delta对冲股票期权收益之间存在负相关关系。一项基于英国脱欧的准自然实验证实了这一发现，因为公投后，积极参与英国脱欧风险敞口的公司的期权回报有所下降。可预测性是由政治不确定性的跳跃风险组成部分驱动的，在中介机构高度限制的时期更为明显，在高需求压力期权中更强，但在政治活跃的公司中较弱。最后，与基于风险的解释一致，当重大的意外政治冲击发生时，政治风险公司期权的投资者获得了高回报。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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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 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.

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来源期刊

Review of Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.