The DOI matches its Crossref record; 48 of the 48 references it cites were found in a registry or an index.
The Price of Political Uncertainty: Theory and Evidence from the Option Market
Open accessAbstract
We empirically analyze the pricing of political uncertainty, guided by a theoretical model of government policy choice.To isolate political uncertainty, we exploit its variation around national elections and global summits.We find that political uncertainty is priced in the equity option market as predicted by theory.Options whose lives span political events tend to be more expensive.Such options provide valuable protection against the price, variance, and tail risks associated with political events.This protection is more valuable in a weaker economy and amid higher political uncertainty.The effects of political uncertainty spill over across countries.
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Cites
Robust Inference With Multiway Clustering
Cameron, A. C., Gelbach, J. B., & Miller, D. L. (2011) · Journal of Business & Economic Statistics · doi:10.1198/jbes.2010.07136 · Cited by 3,203
Transform Analysis and Asset Pricing for Affine Jump-diffusions
Duffie, D., Pan, J., & Singleton, K. J. (2000) · Econometrica · doi:10.1111/1468-0262.00164 · Cited by 2,712
Empirical Performance of Alternative Option Pricing Models
Bakshi, G., Cao, C., & Chen, Z. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb02749.x · Cited by 2,707
Political uncertainty and risk premia
Pástor, Ľ., & Veronesi, P. (2013) · Journal of Financial Economics · doi:10.1016/j.jfineco.2013.08.007 · Cited by 2,331
Self-citationUncertainty about Government Policy and Stock Prices
PÁSTOR, L., & VERONESI, P. (2012) · The Journal of Finance · doi:10.1111/j.1540-6261.2012.01746.x · Cited by 2,313
Self-citationPolicy Uncertainty and Corporate Investment
Gulen, H., & Ion, M. (2015) · Review of Financial Studies · doi:10.1093/rfs/hhv050 · Cited by 1,849
Expected Stock Returns and Variance Risk Premia
Bollerslev, T., Tauchen, G., & Zhou, H. (2009) · Review of Financial Studies · doi:10.1093/rfs/hhp008 · Cited by 1,774
The jump-risk premia implicit in options: evidence from an integrated time-series study
Pan, J. (2002) · Journal of Financial Economics · doi:10.1016/s0304-405x(01)00088-5 · Cited by 1,656
Economic Determinants of Electoral Outcomes
Lewis-Beck, M. S., & Stegmaier, M. (2000) · Annual Review of Political Science · doi:10.1146/annurev.polisci.3.1.183 · Cited by 1,615
The Impact of Jumps in Volatility and Returns
Eraker, B., Johannes, M., & Polson, N. (2003) · The Journal of Finance · doi:10.1111/1540-6261.00566 · Cited by 1,462
Cited by
Measuring Economic Policy Uncertainty*
Baker, S. R., Bloom, N., & Davis, S. J. (2016) · The Quarterly Journal of Economics · doi:10.1093/qje/qjw024 · Cited by 12,458
Ilhan, E., Sautner, Z., & Vilkov, G. (2021) · The Review of Financial Studies · doi:10.1093/rfs/hhaa071 · Cited by 1,136
Ilhan, E., Sautner, Z., & Vilkov, G. (2018) · SSRN Electronic Journal · doi:10.2139/ssrn.3204420 · Cited by 1,136
Political Uncertainty and IPO Activity: Evidence from U.S. Gubernatorial Elections
Çolak, G., Durnev, A., & Qian, Y. (2017) · Journal of Financial and Quantitative Analysis · doi:10.1017/s0022109017000862 · Cited by 486
Policy uncertainty, irreversibility, and cross-border flows of capital
Julio, B., & Yook, Y. (2016) · Journal of International Economics · doi:10.1016/j.jinteco.2016.08.004 · Cited by 473
Metadata
- Authors
- Kelly, B., Pastor, L., & Veronesi, P.
- Venue
- National Bureau of Economic Research
- Publisher
- National Bureau of Economic Research
- Published
- 2014-01
- OpenAlex
- W2167833630
- Cited by
- 391
- References
- 48
- Type
- report
- Language
- en
- Open access
- green
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