Risk Preferences and the Macroeconomic Announcement Premium

• 成果类型: Article
• 署名作者: Ai, Hengjie; Bansal, Ravi
• 署名单位: University of Minnesota System; University of Minnesota Twin Cities; Duke University; National Bureau of Economic Research
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA14607
• 发表日期: 2018
• 页码: 1383-1430
• 关键词: EXPECTED UTILITY MAXIMIZATION; LONG-RUN RISKS; asset returns; ambiguity aversion; disappointment aversion; earnings announcements; temporal resolution; Robust Estimation; SECURITY RETURNS; business cycles

摘要

This paper develops a revealed preference theory for the 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. We provide a characterization theorem for the set of intertemporal preferences that generates a nonnegative announcement premium. Our theory establishes that the announcement premium identifies a significant deviation from time-separable expected utility and provides asset-market-based evidence for a large class of non-expected utility models. We also provide conditions under which asset prices may rise prior to some macroeconomic announcements and exhibit a pre-announcement drift.