This paper studies the impact of political risk on exchange rates. We focus on the Brexit Referendum as it provides a natural experiment where both exchange rate expectations and a time-varying political risk factor can be measured directly. We build a simple portfolio model which predicts that...

In dieser Studie wird die Höhe von Risikoprämien in Industrieländern, die Rolle von Quantitative Easing und die Bedeutung der veränderten Bankenregulierung nach der Bankenkrise sowie im Kontext des Brexit untersucht.Vor dem Hintergrund der Geldpolitik in den USA, in GB und in der Eurozone...

We document a political risk premium of about 0.30% per month in the equity option market. High-political risk firms exhibit delta-hedged returns that are significantly lower than those of low-political risk firms. The effect holds both in a cross-sectional and in a time-series context. A...