We find a negative relation between firm-level political risk and future delta-hedged equity option returns. A quasi-natural experiment based on Brexit corroborates this finding since after the referendum there is a decrease in the option returns of the positive-Brexit exposure firms. The predictability is driven by the jump risk component of political uncertainty, is more pronounced in periods of high intermediary constraints, and is stronger among high-demand pressure options but weaker among politically active firms. Finally, consistent with a risk-based explanation, investors of options on politically risky firms are compensated with high returns when major unexpected political shocks happen.

中文翻译：

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公司层面的政治风险是否在股票期权市场上定价？

我们发现公司层面的政治风险与未来 Delta 对冲股票期权回报之间存在负相关关系。一项基于英国脱欧的准自然实验证实了这一发现，因为公投后，积极脱欧风险敞口的公司的期权回报率有所下降。可预测性是由政治不确定性的跳跃风险成分驱动的，在中介约束较高的时期更为明显，在高需求压力期权中更强，但在政治活跃的公司中较弱。最后，与基于风险的解释一致，当重大的意外政治冲击发生时，政治风险公司期权的投资者可以获得高回报。