Political Uncertainty and Risk Premia

We are grateful for comments from Jules van Binsbergen, Nick Bloom, Mike Chernov, Brad DeLong, Art Durnev, Francisco Gomes, Peter Kondor, Francesco Trebbi, Mungo Wilson, the conference participants at the 2012 Fall NBER AP meeting, 2012 Western Finance Association meetings, 2012 European Finance As- sociation meetings, 2012 Utah Winter Finance Conference, 2012 Duke/UNC Asset Pricing Conference, 2012 Jackson Hole Conference, 2012 Asset Pricing Retreat at Cass Business School, 2012 CNMV Conference on Securities Markets (Madrid), 2012 University of Chicago conference on Policy Uncertainty and Its Economic Implications, and the workshop participants at Berkeley, Bocconi, Boston University, Cambridge, Chicago, Chicago Fed, EIEF Rome, Emory, Fed Board of Governors, INSEAD, Iowa, LBS, LSE, Lugano, Maryland, Michigan, MIT, New York Fed, NYU, Oxford, Penn State, Pompeu Fabra, Toronto, Wisconsin, and WU Vienna. We are also grateful to Diogo Palhares for excellent research assistance and to Bryan Kelly for data assistance. This research was funded in part by the Fama-Miller Center for Research in Finance at the University of Chicago Booth School of Business. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

• September 27, 2011
• November 21, 2011
• July 10, 2012
• December 13, 2012