Economics Faculty Database
Economics
Arts & Sciences
Duke University

 HOME > Arts & Sciences > Economics > Faculty    Search Help Login pdf version printable version 

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 2019/06/17)

    Abstract:
    © 2018 The Econometric Society 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.


Duke University * Arts & Sciences * Economics * Faculty * Research * Staff * Master's * Ph.D. * Reload * Login