Is Firm-Level Political Risk Priced in the Equity Option Market?
研究发现企业政治风险与未来期权回报负相关，英国脱欧公投后暴露于正面脱欧风险的企业期权回报下降，且该可预测性由跳跃风险驱动，投资者在重大政治冲击时获得补偿。
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.