全球智库信息集成服务系统(G2TT): Risk Preferences and The Macro Announcement Premium

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w22527
来源ID	Working Paper 22527
	Risk Preferences and The Macro Announcement Premium
	Hengjie Ai; Ravi Bansal
发表日期	2016-08-22
出版年	2016
语种	英语
摘要	The paper develops a theory for equity premium around macroeconomic announcements. Stock returns realized around pre-scheduled macroeconomic announcements, such as the employment report and the FOMC statements, account for 55% of the market equity premium during the 1961-2014 period, and virtually 100% of it during the later period of 1997-2014, where more announcement data are available. We provide a characterization theorem for the set of intertemporal preferences that generate a positive announcement premium. Our theory establishes that the announcement premium identifies a significant deviation from expected utility and constitutes an asset market based evidence for a large class of non-expected models that features aversion to ”Knightian uncertainty”, for example, Gilboa and Schmeidler [30]. We also present a dynamic model to account for the evolution of equity premium around macroeconomic announcements.
主题	Macroeconomics ; Financial Economics ; Portfolio Selection and Asset Pricing
URL	https://www.nber.org/papers/w22527
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/580201
推荐引用方式 GB/T 7714	Hengjie Ai,Ravi Bansal. Risk Preferences and The Macro Announcement Premium. 2016.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w22527.pdf（583KB）	智库出版物		限制开放	CC BY-NC-SA	浏览