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
Mar 11, 2019
Capital Misallocation and Risk Sharing
This paper shows that factor misallocation is closely tied to the risk-sharing avenues available to firm owners. In contrast to the commonly studied bond-only economy with collateral constraints (for example Moll (2014)), we find that the degree of misallocation is \emph{increasing }in persistence of the idiosyncratic risk when firms have access to state-contingent contracts. The possibility to transfer wealth from high productivity states to low...
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...
