Ho, Thang; Kagkadis, Anastasios; Wang, Jiaguo - 2022
We document a political risk premium of about 0.30% per month in the equity option market. High-political risk firms … that after the referendum there is a decrease in the option returns of the firms with exposure to Brexit risk. Further, the … political risk-option return relation is more pronounced among firms with high option demand, high information asymmetry, and …