TY  - BOOK
AU  - Kelly,Bryan
AU  - Pastor,Lubos
AU  - Veronesi,Pietro
ED  - National Bureau of Economic Research.
TI  - The Price of Political Uncertainty: Theory and Evidence from the Option Market 
T2  - NBER working paper series
PY  - 2014///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - January 2014; Hardcopy version available to institutional subscribers
N2  - 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
UR  - https://www.nber.org/papers/w19812
UR  - http://dx.doi.org/10.3386/w19812
ER  -