Data and Code for: Identifying preference for early resolution from asset prices

Principal Investigator(s):  View help for Principal Investigator(s) Hengjie Ai, University of Wisconsin, Madison; Ravi Bansal, Duke University; Hongye Guo, University of Hong Kong; Amir Yaron, Bank of Israel

Version:  View help for Version V1

Name File Type Size Last Modified
  Submit 12/09/2025 09:50:PM

Project Citation: 

Ai, Hengjie, Bansal, Ravi, Guo, Hongye, and Yaron, Amir. Data and Code for: Identifying preference for early resolution from asset prices. Nashville, TN: American Economic Association [publisher], 2026. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2026-05-12. https://doi.org/10.3886/E241101V1

Project Description

Summary:  View help for Summary 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 FOMC announcements.

Scope of Project

Subject Terms:  View help for Subject Terms preference for early resolution of uncertainty; macroeconomic announcements; generalized risk sensitivity; volatility
JEL Classification:  View help for JEL Classification
      D81 Criteria for Decision-Making under Risk and Uncertainty
      G12 Asset Pricing; Trading Volume; Bond Interest Rates
Geographic Coverage:  View help for Geographic Coverage United States
Time Period(s):  View help for Time Period(s) 1996 – 2020
Collection Date(s):  View help for Collection Date(s) 2020 – 2023
Universe:  View help for Universe S&P 500 index options
Data Type(s):  View help for Data Type(s) event/transaction data; observational data


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V1 [2026-05-12]

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