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Hengjie Ai

Personal Details

First Name:Hengjie
Middle Name:
Last Name:Ai
Suffix:
RePEc Short-ID:pai13
[This author has chosen not to make the email address public]
http://www.tc.umn.edu/~aixx0006/index.html
3-127 Carlson School of Management 321-19th Ave South Minneapolis, MN, 55455

Affiliation

Carlson School of Management
University of Minnesota

Minneapolis, Minnesota (United States)
http://www.csom.umn.edu/

:

321 19th Avenue South, Minneapolis, MN 55455
RePEc:edi:csumnus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Hengjie Ai & Anmol Bhandari, 2018. "Asset Pricing with Endogenously Uninsurable Tail Risk," NBER Working Papers 24972, National Bureau of Economic Research, Inc.
  2. Hengjie Ai & Ravi Bansal, 2016. "Risk Preferences and The Macro Announcement Premium," NBER Working Papers 22527, National Bureau of Economic Research, Inc.
  3. Hengjie Ai & Rui Li, 2012. "Moral hazard, investment, and firm dynamics," FRB Atlanta CQER Working Paper 2012-01, Federal Reserve Bank of Atlanta.
  4. Mariano Croce & Kai Li & Hengjie Ai, 2010. "Toward a Quantitative General Equilibrium Asset Pricing Model with Intangible Capital," 2010 Meeting Papers 663, Society for Economic Dynamics.
  5. Hengjie Ai & Dana Kiku, 2008. "A Model of Cross-Section of Equity Returns and Firm Dynamics," 2008 Meeting Papers 1030, Society for Economic Dynamics.
  6. Hengjie Ai, 2005. "Smooth nonexpected utility without state independence," Working Papers 637, Federal Reserve Bank of Minneapolis.
  7. Hengjie Ai, 2004. "A Theory of Risk Aversion without the Independence Axiom," Econometric Society 2004 North American Summer Meetings 578, Econometric Society.

Articles

  1. Ai, Hengjie & Kiku, Dana, 2013. "Growth to value: Option exercise and the cross section of equity returns," Journal of Financial Economics, Elsevier, vol. 107(2), pages 325-349.
  2. Hengjie Ai & Mariano Massimiliano Croce & Kai Li, 2013. "Toward a Quantitative General Equilibrium Asset Pricing Model with Intangible Capital," Review of Financial Studies, Society for Financial Studies, vol. 26(2), pages 491-530.
  3. Hengjie Ai, 2010. "Information Quality and Long‐Run Risk: Asset Pricing Implications," Journal of Finance, American Finance Association, vol. 65(4), pages 1333-1367, August.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Hengjie Ai & Ravi Bansal, 2016. "Risk Preferences and The Macro Announcement Premium," NBER Working Papers 22527, National Bureau of Economic Research, Inc.

    Cited by:

    1. Anthony M. Diercks & William Waller, 2017. "Taxes and the Fed : Theory and Evidence from Equities," Finance and Economics Discussion Series 2017-104, Board of Governors of the Federal Reserve System (US).
    2. Anisha Ghosh & George M. Constantinides, 2017. "What Information Drives Asset Prices?," NBER Working Papers 23689, National Bureau of Economic Research, Inc.
    3. Croce, Mariano Massimiliano & Marchuk, Tatyana & Schlag, Christian, 2018. "The Leading Premium," CEPR Discussion Papers 12631, C.E.P.R. Discussion Papers.
    4. Borisenko, Dmitry & Pozdeev, Igor, 2017. "Monetary Policy and Currency Returns: the Foresight Saga," Working Papers on Finance 1708, University of St. Gallen, School of Finance, revised 1710.

  2. Hengjie Ai & Rui Li, 2012. "Moral hazard, investment, and firm dynamics," FRB Atlanta CQER Working Paper 2012-01, Federal Reserve Bank of Atlanta.

    Cited by:

    1. Richardson, Martin & Stähler, Frank, 2016. "On the “uniform pricing puzzle” in recorded music," Information Economics and Policy, Elsevier, vol. 34(C), pages 58-66.
    2. Hall, Lisa M.H. & Buckley, Alastair R., 2016. "A review of energy systems models in the UK: Prevalent usage and categorisation," Applied Energy, Elsevier, vol. 169(C), pages 607-628.
    3. Li, Rui, 2017. "Moral hazard in investment and endogenous risk taking," Economics Letters, Elsevier, vol. 157(C), pages 112-115.
    4. Mu, Congming & Wang, Anxing & Yang, Jinqiang, 2017. "Optimal capital structure with moral hazard," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 326-338.
    5. Ai, Hengjie & Li, Rui, 2015. "Investment and CEO compensation under limited commitment," Journal of Financial Economics, Elsevier, vol. 116(3), pages 452-472.

  3. Mariano Croce & Kai Li & Hengjie Ai, 2010. "Toward a Quantitative General Equilibrium Asset Pricing Model with Intangible Capital," 2010 Meeting Papers 663, Society for Economic Dynamics.

    Cited by:

    1. Jaroslav Borovicka & Lars Peter Hansen, 2012. "Examining macroeconomic models through the lens of asset pricing," Working Paper Series WP-2012-01, Federal Reserve Bank of Chicago.
    2. Ludvigson, Sydney C., 2013. "Advances in Consumption-Based Asset Pricing: Empirical Tests," Handbook of the Economics of Finance, Elsevier.
    3. Grüning, Patrick, 2016. "International endogenous growth, macro anomalies, and asset prices," SAFE Working Paper Series 83, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
    4. Hansen, Lars Peter, 2013. "Risk Pricing over Alternative Investment Horizons," Handbook of the Economics of Finance, Elsevier.
    5. Fukuta, Yuichi & Yamane, Akiko, 2015. "Value premium and implied equity duration in the Japanese stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 102-121.

  4. Hengjie Ai, 2005. "Smooth nonexpected utility without state independence," Working Papers 637, Federal Reserve Bank of Minneapolis.

    Cited by:

    1. Polkovnichenko, Valery & Zhao, Feng, 2013. "Probability weighting functions implied in options prices," Journal of Financial Economics, Elsevier, vol. 107(3), pages 580-609.

Articles

  1. Ai, Hengjie & Kiku, Dana, 2013. "Growth to value: Option exercise and the cross section of equity returns," Journal of Financial Economics, Elsevier, vol. 107(2), pages 325-349.

    Cited by:

    1. Ehab Yamani & David Rakowski, 2018. "Cash Flow and Discount Rate Risk in the Investment Effect: A Downside Risk Approach," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 8(03), pages 1-40, September.
    2. José L. Fillat & Stefania Garetto, 2015. "Risk, Returns, and Multinational Production," The Quarterly Journal of Economics, Oxford University Press, vol. 130(4), pages 2027-2073.
    3. Hengjie Ai & Dana Kiku, 2016. "Volatility Risks and Growth Options," Management Science, INFORMS, vol. 62(3), pages 741-763, March.
    4. Zhongjun Qu & Denis Tkachenko, 2015. "Global Identification in DSGE Models Allowing for Indeterminacy," Boston University - Department of Economics - Working Papers Series wp2015-001, Boston University - Department of Economics.
    5. Jerry Tsai & Jessica A. Wachter, 2014. "Rare Booms and Disasters in a Multi-sector Endowment Economy," NBER Working Papers 20062, National Bureau of Economic Research, Inc.
    6. Grüning, Patrick, 2016. "International endogenous growth, macro anomalies, and asset prices," SAFE Working Paper Series 83, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
    7. Hang Bai & Kewei Hou & Howard Kung & Lu Zhang, 2015. "The CAPM Strikes Back? An Investment Model with Disasters," NBER Working Papers 21016, National Bureau of Economic Research, Inc.
    8. Massimiliano Croce, Mariano, 2014. "Long-run productivity risk: A new hope for production-based asset pricing?," Journal of Monetary Economics, Elsevier, vol. 66(C), pages 13-31.
    9. Graeme Guthrie, 2014. "Real Options And The Cross-Section Of Expected Stock Returns," Journal of Economic Surveys, Wiley Blackwell, vol. 28(2), pages 265-283, April.
    10. Lu Zhang & Howard Kung & Hang Bai, 2013. ""Shooting" the CAPM," 2013 Meeting Papers 905, Society for Economic Dynamics.
    11. Chen, Andrew Y., 2014. "Habit, Production, and the Cross-Section of Stock Returns," Finance and Economics Discussion Series 2014-103, Board of Governors of the Federal Reserve System (US).
    12. Fukuta, Yuichi & Yamane, Akiko, 2015. "Value premium and implied equity duration in the Japanese stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 102-121.
    13. Bai, Hang & Hou, Kewei & Kung, Howard & Li, Erica X.N. & Zhang, Lu, 2019. "The CAPM strikes back? An equilibrium model with disasters," Journal of Financial Economics, Elsevier, vol. 131(2), pages 269-298.

  2. Hengjie Ai & Mariano Massimiliano Croce & Kai Li, 2013. "Toward a Quantitative General Equilibrium Asset Pricing Model with Intangible Capital," Review of Financial Studies, Society for Financial Studies, vol. 26(2), pages 491-530.
    See citations under working paper version above.
  3. Hengjie Ai, 2010. "Information Quality and Long‐Run Risk: Asset Pricing Implications," Journal of Finance, American Finance Association, vol. 65(4), pages 1333-1367, August.

    Cited by:

    1. Aase, Knut K., 2015. "Recursive utility and jump-diffusions," Discussion Papers 2015/6, Norwegian School of Economics, Department of Business and Management Science.
    2. Aase, Knut K., 2014. "Recursive utility using the stochastic maximum principle," Discussion Papers 2014/3, Norwegian School of Economics, Department of Business and Management Science, revised 25 Mar 2015.
    3. Kai Li & Fang Yang & Hengjie Ai, 2015. "Financial Intermediation and Capital Reallocation," 2015 Meeting Papers 429, Society for Economic Dynamics.
    4. Larry G. Epstein & Emmanuel Farhi & Tomasz Strzaleck, 2013. "How Much Would You Pay to Resolve Long-Run Risk?," Boston University - Department of Economics - Working Papers Series WP2013-002, Boston University - Department of Economics.
    5. Hirshleifer, David & Li, Jun & Yu, Jianfeng, 2015. "Asset pricing in production economies with extrapolative expectations," Journal of Monetary Economics, Elsevier, vol. 76(C), pages 87-106.
    6. Stefano d’Addona & Christos Giannikos, 2014. "Asset pricing and the role of macroeconomic volatility," Annals of Finance, Springer, vol. 10(2), pages 197-215, May.
    7. Aurelian DIACONU & Doina AVRAM, 2017. "General Aspects of Risk and Uncertainty in Making Financial – Economic Decisions," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 65(6), pages 40-50, June.
    8. Gilbert, Thomas, 2011. "Information aggregation around macroeconomic announcements: Revisions matter," Journal of Financial Economics, Elsevier, vol. 101(1), pages 114-131, July.
    9. Tomas Havranek & Roman Horvath & Zuzana Irsova & Marek Rusnak, 2013. "Cross-Country Heterogeneity in Intertemporal Substitution," William Davidson Institute Working Papers Series wp1056, William Davidson Institute at the University of Michigan.
    10. Chen, Andrew N.K. & Wang, Shin-Yun & Yu, Po-Lung, 2014. "Evaluating multi-criteria ratings of financial investment options," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 46-58.
    11. Pakos, Michal, 2013. "Long-Run Risk and Hidden Growth Persistence," MPRA Paper 47217, University Library of Munich, Germany.
    12. Anisha Ghosh & George M. Constantinides, 2017. "What Information Drives Asset Prices?," NBER Working Papers 23689, National Bureau of Economic Research, Inc.
    13. Suzuki, Masataka, 2016. "A representative agent asset pricing model with heterogeneous beliefs and recursive utility," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 298-315.
    14. Lubos Pastor & Pietro Veronesi, 2009. "Learning in Financial Markets," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 361-381, November.
    15. Constantin Anghelache & Alexandru Manole & Madalina Anghel & Mugurel Popovici & Marius Popovici, 2016. "Significant aspects regarding the analysis of bankruptcy risk," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 64(9), pages 81-87, September.
    16. Pierre Collin-Dufresne & Michael Johannes & Lars A. Lochstoer, 2016. "Parameter Learning in General Equilibrium: The Asset Pricing Implications," American Economic Review, American Economic Association, vol. 106(3), pages 664-698, March.
    17. Ravi Bansal & Ivan Shaliastovich, 2009. "Learning and Asset-Price Jumps," NBER Working Papers 14814, National Bureau of Economic Research, Inc.
    18. Jacoby, Gady & Lee, Gemma & Paseka, Alexander & Wang, Yan, 2019. "Asset pricing with an imprecise information set," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 82-93.
    19. Tomas Havranek, 2013. "Publication Bias in Measuring Intertemporal Substitution," Working Papers IES 2013/15, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Oct 2013.
    20. Yu Chen & Thomas Cosimano & Alex Himonas & Peter Kelly, 2014. "An Analytic Approach for Stochastic Differential Utility for Endowment and Production Economies," Computational Economics, Springer;Society for Computational Economics, vol. 44(4), pages 397-443, December.
    21. Aase, Knut K., 2014. "Heterogeneity and limited stock market Participation," Discussion Papers 2014/5, Norwegian School of Economics, Department of Business and Management Science, revised 25 Mar 2015.
    22. Veronesi, Pietro, 2019. "Heterogeneous Households under Uncertainty," CEPR Discussion Papers 13466, C.E.P.R. Discussion Papers.
    23. Liu, Hening, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 623-640, April.
    24. Hengjie Ai & Ravi Bansal, 2016. "Risk Preferences and The Macro Announcement Premium," NBER Working Papers 22527, National Bureau of Economic Research, Inc.
    25. Edward Schlee & Christian Gollier, "undated". "Information and the Equity Premium," Working Papers 2133505, Department of Economics, W. P. Carey School of Business, Arizona State University.
    26. Ravi Bansal & Ivan Shaliastovich, 2010. "Confidence Risk and Asset Prices," American Economic Review, American Economic Association, vol. 100(2), pages 537-541, May.
    27. Ravi Bansal & Hengjie Ai, 2016. "Macro Announcement Premium and Risk Preferences," 2016 Meeting Papers 715, Society for Economic Dynamics.
    28. Tomáš Havránek, 2015. "Measuring Intertemporal Substitution: The Importance Of Method Choices And Selective Reporting," Journal of the European Economic Association, European Economic Association, vol. 13(6), pages 1180-1204, December.
    29. Einian, Majid & Nili, Masoud, 2016. "Elasticity of Intertemporal Substitution: An Investigation in Iran," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 11(2), pages 207-223, April.
    30. Lopomo Beteto Wegner, Danilo, 2015. "Government insurance, information, and asset prices," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 165-183.

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CTA: Contract Theory & Applications (2) 2012-05-15 2018-09-24
  2. NEP-DGE: Dynamic General Equilibrium (2) 2012-05-15 2018-09-24
  3. NEP-MAC: Macroeconomics (2) 2016-08-28 2018-09-24
  4. NEP-BEC: Business Economics (1) 2012-05-15
  5. NEP-IAS: Insurance Economics (1) 2018-09-24
  6. NEP-MIC: Microeconomics (1) 2004-08-16
  7. NEP-UPT: Utility Models & Prospect Theory (1) 2016-08-28

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