Finance Seminar: Ravi Bansal

The Department of Finance invites you to a research seminar with Professor Ravi Bansal, Duke University, The Fuqua School of Business

Tid: 7. september 2022 14:15 - 15:30
Sted: Auditorium M / Zoom
Kalender: Legg i min kalender

Ravi Bansal's webpage at Duke University, The Fuqua School of Business

Identifying Preference for Early Resolution from Asset Prices

Abstract:

This paper develops an asset market based test for preference for the timing of resolution of uncertainty. Our main theorem provides a characterization of the representative agent’s preference for early resolution of uncertainty in terms of the risk premium of assets

realized during the period of resolution of informativeness of macroeconomic announcements.

Empirically, we show how data on the dynamics of the S&P 500 index options prices before FOMC announcements can be used to identify investors’ preference for the timing

of resolution of uncertainty.