Identifying Preference for Early Resolution from Asset Prices

• 成果类型: Article
• 署名作者: Ai, Hengjie; Bansal, Ravi; Guo, Hongye; Yaron, Amir
• 署名单位: University of Wisconsin System; University of Wisconsin Madison; Duke University; National Bureau of Economic Research; University of Hong Kong; Bank of Israel
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282; 1944-7981
• DOI: 10.1257/aer.20221351
• 发表日期: 2026-06
• 页码: 2242-2281
• 关键词: long-run risk; expected utility; temporal resolution; implied volatility; Robust Estimation; ambiguity; aversion; consumption; returns; substitution

摘要

This paper develops an asset market-based test for preference for the timing of resolution of uncertainty. Our main theorem provides a characterization of preference for early resolution of uncertainty in terms of the risk premium realized during the period when the informativeness of macroeconomic announcements is resolved. Empirically, we find support for preference for early resolution of uncertainty based on evidence on the dynamics of the implied volatility of S&P 500 index options before Federal Open Market Committee announcements. (JEL D81, D83, G13, G14, G41)