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Striking the implied volatility of US drone companies

Bevilacqua, Mattia, Morelli, David A., Uzan, Paola Sultana Renée (2021) Striking the implied volatility of US drone companies. International Review of Financial Analysis, 77 . Article Number 101832. ISSN 1057-5219. (doi:10.1016/j.irfa.2021.101832) (Access to this publication is currently restricted. You may be able to access a copy if URLs are provided) (KAR id:89461)

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https://doi.org/10.1016/j.irfa.2021.101832

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 oce, 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
DOI/Identification number: 10.1016/j.irfa.2021.101832
Uncontrolled keywords: Drone Strikes, Drone Companies, Implied Volatility, Event Study, Geopolitical Risk.
Subjects: H Social Sciences > H Social Sciences (General)
Divisions: Divisions > Kent Business School - Division > Department of Accounting and Finance
Depositing User: David Morelli
Date Deposited: 27 Jul 2021 08:51 UTC
Last Modified: 28 Jul 2021 15:19 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/89461 (The current URI for this page, for reference purposes)
Morelli, David A.: https://orcid.org/0000-0002-1501-4312
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