Asset pricing in a long-run risk model with learning. I show the effect of learning depends on IES and not risk-aversion. Learning explains many stylized facts in asset market returns.
A revealed preference theory of the macro announcement premium. Generalized risk sensitivity is necessary to explain asset market fact. SFS Cavalcade 2017 best paper award in asset pricing.
Develop an asset pricing based test for preference for early resolution of uncertainty. Extend the revealed preference approach in Ai and Bansal (2018) to identify preference for early resolution of uncertainty from asset market data.
A dynamic noisy rational expectations equilibrium model with endogenous information acquisition explains the pre-FOMC announcement drift and the volatility dynamics around FOMC announcements.
Stochastic volatility in macroeconomic fundamentals is unlikely to explain the high-frequency volatility dynamics on financial markets. Develop an information-based model of stochastic volatility that explains several volatility-related puzzles.