Striking the implied volatility of US drone companies

Mattia Bevilacqua, David Morelli and Paola Sultana Renée Uzan

International Review of Financial Analysis, 2021, vol. 77, issue C

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.

Keywords: Drone strikes; Drone companies; Implied volatility; Event study; Geopolitical risk (search for similar items in EconPapers)
JEL-codes: F5 G12 G14 G18 G41 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:77:y:2021:i:c:s1057521921001654

DOI: 10.1016/j.irfa.2021.101832

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