Hengjie Ai
  • Home
  • Research
  • Curriculum Vitae
  • Teaching
Research main page

Research by topic (Link to google scholar)

  • Preferences, information, and asset pricing
  • Quantitative dynamic agency
  • General equilibrium models of cross-section of expected returns
  • Financial market frictions

Active working papers

  • A comment on Announcement risk premium reconsidered, with Ravi Bansal
           Comments on a recent paper by Toomas Laarits, titled ``Announcement Risk Premium Reconsidered'' which mistakenly claims that a result from Ai               and Bansal (2018) contains an error.​
  • A Quantitative Model of Dynamic Moral Hazard, with Dana Kiku, and Rui Li, Revise and Resubmit, Review of Financial Studies.
            A quantitative dynamic moral hazard model that accounts for the cross-sectional and time-series properties of CEO pay and firm investment.
  • The cross-section of monetary policy announcement premium, with Leyla Jianyu Han, Xuhui Pan, and Lai Xu, Revise and Resubmit, Journal of Financial Economics.
               Stocks that are more sensitive to monetary policy announcements require a higher risk compensation.
  • Identifying preference for early resolution from asset market data, with Ravi Bansal, Hongye Guo, and Amir Yaron.
               A revealed preference theory for preference for early resolution of uncertainty and empirical evidence.
  • Macroeconomic Announcement Premium with Production, with Ravi Bansal, Jay Im, and Chao Ying.
            A production-based model that matches the response to macroeconomic quantites and asset prices to macroeconomic announcements.
  • Capital misallocation and risk sharing, with Anmol Bhandari, Yuchen Chen, and Chao Ying.
​             Persistence of productivity leads to more capital misallocation in complete markets.
  • Information Acquisition and the Pre-Announcement Drift, with Ravi Bansal and Leyla Han.
  • Equilibrium profitability and value premium, with Jun E Li and Jincheng Tong.
​    

Work in progress

  • A theory of capital structure and endogenous bankcruptcy, with Barney Hartmand Glaser and Rui Li.
  • Moral hazard and investment-cash flow sensitivity, with Kai Li and Rui Li.

Published and forthcoming papers

  • Asset pricing with endogenously uninsurable tail risk, with Anmol Bhandari, forthcoming, Econometrica.
            Dynamic-agency-based asset pricing theory that generates endogenously uninsurable risks in general equilibrium.​
  • Financial intermediation and capital reallocation, with Kai Li and Fang Yang, forthcoming, Journal of Financial Economics. Online appendix.
            A model in which financial intermediation frictions affect business cycle and asset pricing through capital reallocation.
  • A unified model of firm dynamics with limited commitment and assortative matching, with Dana Kiku, Rui Li, and Jincheng Tong, Journal of Finance, 2020, Online appendix
            A limited commitment model generates power laws in firms size and CEO pay.
  • The collatateralizability premium, with Kai Li, Jun Li, and Christian Schlag, Review of Financial Studies, 2020,
            Asset pricing implications of financial market frictions. Online appendix
  • Risk preferences and the macro announcement premium, with Ravi Bansal, Econometrica​, 2018.
            Download supplementary material
  • A tractable model of limited enforcement and the life-cycle dynamics of firms, with Rui Li, Economic Letters, forthcoming. Online appendix.
  • News shocks and production-based term structure of equity returns, with Max Croce, Anthony Diercks, and Kai Li, 2018, Review of Financial Studies.
  • Investment and CEO Compensation under Limited Commitment, with Rui Li, Journal of Financial Economics, 2015, vol. 116, issue 3, 452-472.
  • Volatility Risks and Growth Options, with Dana Kiku, Management Science, 2016, vol. 62, No. 3, 741-763.
  • Toward a Quantitative General Equilibrium Asset Pricing Model with Intangible Capital, with Mariano Croce and Kai Li, 2013, Review of Financial Studies, 26 (2), 491-530.
  • Growth to Value: Option Exercise and the Cross-Section of Equity Returns, with Dana Kiku, Journal of Financial Economics, 2013, Vol. 107, Issue 2, 325-349.
  • Information Quality and Long-run Risk: Asset Pricing Implications, Journal of Finance, 2010, vol. 65, Issue 4, 1333-1367.
Proudly powered by Weebly
  • Home
  • Research
  • Curriculum Vitae
  • Teaching