Journal of Finance, Volume 71, Issue 5, October 2016,Pages 2417-2480

政治不确定性的价格：来自期权市场中的理论和实证检验

作者：Bryan Kelly (University of Chicago), Lubos Pastor (University of Chicago), Pietro Veronesi (University of Chicago)

摘要：在政府政策选择的理论模型指导下，我们对政治不确定性定价进行了实证分析。我们利用全国大选和全球首脑会议上的政治变化，以此分离政治不确定性。我们发现，在股票期权市场中，政治不确定性是依照理论预测进行定价的。那些处于政治变动事件中的期权往往更加昂贵。因为这类期权对于与政治事件相关的股票的价格、变动以及尾部风险提供了更有价值的保护。而这种保护对于处在较弱的经济制度以及更高的政治不确定环境中的股票更具价值。我们发现政治不确定性的影响在各国蔓延。

The Price of Political Uncertainty: Theory and Evidence from the Option Market

Bryan Kelly (University of Chicago), Lubos Pastor (University of Chicago), Pietro Bryan Kelly (University of Chicago), Lubos Pastor (University of Chicago), Pietro Veronesi (University of Chicago)

ABSTRACT

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.

原文链接：

http://onlinelibrary.wiley.com/doi/10.1111/jofi.12406/full

翻译：秦秀婷