Macroeconomic Announcement Premium

Hengjie Ai, Ravi Bansal and Hongye Guo

No 31923, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: The paper reviews the evidence on the macroeconomic announcement premium and its implications on equilibrium asset pricing models. Empirically, a large fraction of the equity market risk premium is realized on a small number of trading days with significant macroeconomic announcements. We review the literature that demonstrates that the existence of the macroeconomic announcement premium implies that investors’ preferences must satisfy generalized risk sensitivity. We show how this conclusion generalizes to environments with heterogeneous investors and demonstrate how incorporating generalized risk sensitivity affects economic analysis in dynamic setups with uncertainty.

JEL-codes: A0 E0 E37 E40 (search for similar items in EconPapers)
Date: 2023-11
New Economics Papers: this item is included in nep-fdg and nep-upt
Note: AP EFG IFM
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.nber.org/papers/w31923.pdf (application/pdf)
Access to the full text is generally limited to series subscribers, however if the top level domain of the client browser is in a developing country or transition economy free access is provided. More information about subscriptions and free access is available at http://www.nber.org/wwphelp.html. Free access is also available to older working papers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:31923

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w31923
The price is Paper copy available by mail.

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().