Bevilacqua, Mattia, Morelli, David and Uzan, Paola Sultana Renée (2021) Striking the implied volatility of US drone companies. International Review of Financial Analysis, 77. ISSN 1057-5219
Full text not available from this repository.Abstract
This study analyzes the impact of drone strikes on the implied volatility of US drone companies. We find evidence of an overall increase in the implied volatility the day after the strike. We subset drone strikes according to countries targeted and US president in office, finding a more significant impact for strikes in Afghanistan and Pakistan, and under the Bush or Obama's administration. We find that drone strikes are also associated with next day decreasing stock returns of the drone companies. A possible increasing geopolitical risk concern and resiliency rationale may explain our findings.
| Item Type: | Article |
|---|---|
| Additional Information: | Funding Information: Mattia Bevilacqua gratefully acknowledges the support of the Economic and Social Research Council (ESRC) in funding the Systemic Risk Centre [grant number ES/K002309/1 and ES/R009724/1 ]. Publisher Copyright: © 2021 Elsevier Inc. Copyright: Copyright 2021 Elsevier B.V., All rights reserved. |
| Divisions: | Systemic Risk Centre |
| Date Deposited: | 07 May 2024 10:51 |
| Last Modified: | 16 May 2024 03:24 |
| URI: | http://eprints.lse.ac.uk/id/eprint/122937 |
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