Opioid Crisis and Firm Downside Tail Risks: Evidence from the Option Market
報告人簡介
曹杰教授現任香港理工大學會計與金融學院正教授，博士生導師。他亦擔任香港證監會學術評審諮詢委員會委員，香港金融管理局金融研究院諮詢委員，聯合國可持續證券交易所倡議組織學術委員，以及芝加哥數量聯盟（亞洲）協會理事。他的研究領域為實證資產定價、金融衍生品以及可持續金融等。他的研究成果見諸于Journal of Financial Economics,Review of Financial Studies,Journal of Financial and Quantitative Analysis,Management Science等頂級金融學及管理學期刊。曹杰教授目前擔任國際知名金融期刊International Review of Finance的共同主編以及國際權威金融期刊Financial Management的副主編。他亦擔任CFA創辦的金融業界國際權威期刊Financial Analysts Journal及國際知名會計期刊China Accounting and Finance Review的編委會成員。他承擔多種國際一流期刊的評審工作，并擔任香港研究局及加拿大社會科學和人文科學研究理事會的外部評審專家。
內容簡介
We explore how the opioid crisis exposure affects firm downside tail risks implied from equity options. Using a large sample of US public firms from 1999 to 2020, we find that firms headquartered in regions with higher opioid death rates face higher downside tail risks, i.e., the cost of option protection against left tail risks is higher. The effects are reversed following exogenous anti-opioid legislation, supporting a causal interpretation. Further analysis shows that the opioid crisis heightens firm risk by lowering labor productivity. We document more pronounced impacts among firms with higher reliance on labor, limited local labor supply, and lower workplace safety.
