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• W2181352992 abstract "Political risk, i.e. the risk that a future politic al event will change the prospects of profitability of a given investment, has been predominantly analyzed in emerging countries. In this paper, we claim that political risk affects also asset prices in de veloped economies. To test this conjecture, we trac k the ultimate control rights for a sample of 220 fir ms privatized in 15 European countries and find ‐ a s theory predicts - that a portfolio based on fully p rivatized firms requires a premium for political ri sk. Then, we use this portfolio to mimic sensitivity to political risk in multifactor asset pricing models . Our results suggest that the notion of political ri sk beta is useful to explain average returns in European stock markets. We conclude that a common and un-diversifiable political risk factor seems to matter in countries with a long tradition of pub lic intervention in the economy." @default.
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• W2181352992 date "2007-01-01" @default.
• W2181352992 modified "2023-09-23" @default.
• W2181352992 title "State Ownership, Political Risk, and Asset Prices *" @default.
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