Hengjie Ai
Institution
University of Wisconsin - Madison
PhD Year
2006
Phone
608-890-3881
hengjie.ai@gmail.com
FTG Membership
Member
Website
http://www.hengjieai.com
Featured Work
Jan 6, 2017
Risk Preferences and the Macro Announcement Premium
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...
