Identifying Preference for Early Resolution from Asset Prices
提出一种基于资产市场的检验方法，用于识别投资者对不确定性解决时机的偏好，并利用标普500指数期权隐含波动率在美联储公告前的动态变化，发现投资者偏好早期解决不确定性。
This paper develops an asset market-based test for preference for the timing of resolution of uncertainty. Our main theorem provides a characterization of preference for early resolution of uncertainty in terms of the risk premium realized during the period when the informativeness of macroeconomic announcements is resolved. Empirically, we find support for preference for early resolution of uncertainty based on evidence on the dynamics of the implied volatility of S&P 500 index options before Federal Open Market Committee announcements.