Hengjie Ai
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Research by topic
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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.
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