Hengjie Ai
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Preference, information and asset pricing

Information and long-run risk: asset pricing implications,   Journal of Finance, 2010, vol. 65, Issue 4, 1333-1367.

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. SFS award for best paper in asset pricing, 2017.
  • Technical appendix
  • Numerical solution: the Markov chain approximation method
  • An earlier version that contains a decomposition of the welfare gain of information

Risk preferences and the macro announcement premium, with Ravi Bansal, forthcoming, Econometrica.

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.
  • The technical appendix for the paper
  • Slides for the paper
  • A simple proof for the main theorem in the finite dimensional case
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