Ai, Hengjie; Bansal, Ravi; Guo, Hongye - National Bureau of Economic Research - 2023
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 … conclusion generalizes to environments with heterogeneous investors and demonstrate how incorporating generalized risk …