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Publications [#339265] of Ravi Bansal

Journal Articles

  1. Ai, H; Bansal, R, Risk Preferences and the Macroeconomic Announcement Premium, Econometrica, vol. 86 no. 4 (January, 2018), pp. 1383-1430, The Econometric Society [doi]
    (last updated on 2021/09/26)

    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.

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