American Economic Review Vol. 116 No. 6 2026

Identifying Preference for Early Resolution from Asset Prices

Hengjie Ai¹; Ravi Bansal²; Hongye Guo³; Amir Yaron⁴

¹ University of Wisconsin-Madison (email: ) · ² Duke University and NBER (email: ) · ³ University of Hong Kong (email: ) · ⁴ Bank of Israel (email: )

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 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.

DOI

10.1257/aer.20221351

Volume

116

Issue

6

Pages

2242-2281

Language

en

Sources

openalex crossref

Cite

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