Ai, Hengjie; Bansal, Ravi; Guo, Hongye - National Bureau of Economic Research - 2023
The paper reviews the evidence on the macroeconomic announcement premium and its implications on equilibrium asset … pricing models. Empirically, a large fraction of the equity market risk premium is realized on a small number of trading days … macroeconomic announcement premium implies that investors' preferences must satisfy generalized risk sensitivity. We show how this …