Risk Preferences and the Macroeconomic Announcement Premium
研究了股票在宏观经济公告发布前后的回报，发现这些回报占市场股权溢价的55%，并提出了一个理论来解释这一现象，对理解投资者风险偏好和资产定价有用。
This paper develops a revealed preference theory for the equity premium around macroeconomic announcements. Stock returns realized around pre‐scheduled macroeconomic announcements, such as the employment report and the FOMC statements, account for 55% of the market equity premium. We provide a characterization theorem for the set of intertemporal preferences that generates a nonnegative announcement premium. Our theory establishes that the announcement premium identifies a significant deviation from time‐separable expected utility and provides asset‐market‐based evidence for a large class of non‐expected utility models. We also provide conditions under which asset prices may rise prior to some macroeconomic announcements and exhibit a pre‐announcement drift.