Hengjie Ai

University of Wisconsin-Madison

975 University Avenue

Madison, WI 53706

United States

http://www.hengjieai.com

SCHOLARLY PAPERS

18

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Top 13,809

in Total Papers Downloads

5,328

SSRN CITATIONS
Rank 4,561

SSRN RANKINGS

Top 4,561

in Total Papers Citations

179

CROSSREF CITATIONS

115

Scholarly Papers (18)

1.

The Trade-off Theory of Corporate Capital Structure

Oxford Research Encyclopedia of Economics and Finance
Number of pages: 65 Posted: 11 Jun 2020 Last Revised: 13 Jul 2021
Hengjie Ai, Murray Z. Frank and Ali Sanati
University of Wisconsin-Madison, University of Minnesota and American University
Downloads 1,212 (25,507)
Citation 5

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2.

Toward a Quantitative General Equilibrium Asset Pricing Model with Intangible Capital

Review of Financial Studies 26 (2): 491-530, 2013, DOI: doi.org/10.1093/rfs/hhs121
Number of pages: 61 Posted: 15 Mar 2010 Last Revised: 10 Mar 2017
University of Wisconsin-Madison, Finance Department, Bocconi University and Peking University HSBC Business School
Downloads 1,100 (29,427)
Citation 29

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Asset Pricing, General Equilibrium, Intangible Capital, Value Premium

News Shocks and the Production-Based Term Structure of Equity Returns

Number of pages: 67 Posted: 18 Nov 2012 Last Revised: 05 Sep 2017
University of Wisconsin-Madison, Finance Department, Bocconi University, Board of Governors of the Federal Reserve System and Peking University HSBC Business School
Downloads 774 (47,137)
Citation 9

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News Shocks, Learning, Term Structure of Equity, Duration

Production-Based Term Structure of Equity Returns

UNC Kenan-Flagler Research Paper No. 2336099
Number of pages: 42 Posted: 09 Oct 2013
Finance Department, Bocconi University, University of Wisconsin-Madison, Board of Governors of the Federal Reserve System and Peking University HSBC Business School
Downloads 97 (388,206)
Citation 1

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Term Structure, Duration, Value Premium

News Shocks and the Production-Based Term Structure of Equity Returns

CEPR Discussion Paper No. DP12661
Number of pages: 70 Posted: 05 Feb 2018
University of Wisconsin-Madison, Finance Department, Bocconi University, Board of Governors of the Federal Reserve System and Peking University HSBC Business School
Downloads 0
Citation 11
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4.

The Cross Section of Monetary Policy Announcement Premium

Journal of Financial Economics (forthcoming)
Number of pages: 88 Posted: 01 Mar 2019 Last Revised: 21 Jan 2022
University of Wisconsin-Madison, Boston University - Questrom School of Business, University of Oklahoma and Syracuse University
Downloads 490 (85,670)
Citation 6

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FOMC Announcement, Implied Variance, Cross Section, Equity Returns

5.
Downloads 223 (199,337)
Citation 3

Moral Hazard, Investment, and Firm Dynamics

AFA 2013 San Diego Meetings Paper
Number of pages: 54 Posted: 12 Mar 2012 Last Revised: 06 Aug 2014
Hengjie Ai, Rui Li and Rui Li
University of Wisconsin-Madison and University of Wisconsin - MadisonPurdue University - Department of Economics
Downloads 156 (273,142)
Citation 4

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Moral Hazard, Dynamic Contracting, General Equilibrium, Firm Dynamics

Moral Hazard, Investment, and Firm Dynamics

Number of pages: 61 Posted: 03 Oct 2011
Hengjie Ai, Rui Li and Rui Li
University of Wisconsin-Madison and University of Wisconsin - MadisonPurdue University - Department of Economics
Downloads 67 (483,431)
Citation 1

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Dynamic Mechnism Design, General Equilibrium, Investment, Payout Policy, Power law

6.

The Collateralizability Premium

SAFE Working Paper No. 264 (2019)
Number of pages: 88 Posted: 25 Oct 2019
Hengjie Ai, Jun E. Li, Kai Li and Christian Schlag
University of Wisconsin-Madison, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Peking University HSBC Business School and Goethe University Frankfurt
Downloads 213 (208,087)
Citation 5

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Cross-Section of Returns, Financial Frictions, Collateral Constraint

7.

Information-Driven Volatility

Number of pages: 68 Posted: 14 Nov 2021 Last Revised: 30 Sep 2022
Hengjie Ai, Leyla Jianyu Han and Lai Xu
University of Wisconsin-Madison, Boston University - Questrom School of Business and Syracuse University
Downloads 195 (225,384)

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Information, Return Volatility, Macroeconomic Announcements, Generalized Risk Sensitivity

8.

Information Acquisition and the Pre-Announcement Drift

Number of pages: 56 Posted: 18 Nov 2021 Last Revised: 30 Sep 2022
Hengjie Ai, Ravi Bansal and Leyla Jianyu Han
University of Wisconsin-Madison, Duke University and NBER and Boston University - Questrom School of Business
Downloads 194 (226,430)

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Macroeconomic Announcement Premium, Pre-FOMC Announcement Drift, Asymmetric Information, Ambiguity.

9.

A Quantitative Model of Dynamic Moral Hazard

Number of pages: 40 Posted: 27 Jun 2016 Last Revised: 29 Jun 2020
Hengjie Ai, Dana Kiku, Rui Li and Rui Li
University of Wisconsin-Madison, University of Illinois at Urbana-Champaign and University of Wisconsin - MadisonPurdue University - Department of Economics
Downloads 186 (234,917)
Citation 3

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Structural Estimation, Dynamic Moral Hazard, CEO Compensation, General Equilibrium, Firm Dynamics

10.

Growth to Value: Option Exercise and the Cross-Section of Equity Returns

Number of pages: 59 Posted: 16 Feb 2009 Last Revised: 08 Dec 2011
Hengjie Ai and Dana Kiku
University of Wisconsin-Madison and University of Illinois at Urbana-Champaign
Downloads 168 (256,261)
Citation 34

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Value Premium, Cross Section, Long-Run Risk, Real Options

11.

Capital Misallocation and Risk Sharing

Number of pages: 33 Posted: 11 Mar 2020 Last Revised: 25 Oct 2021
University of Wisconsin-Madison, University of Minnesota - Minneapolis - Department of Economics, University of Minnesota - Twin Cities, Carlson School of Management and Chinese University of Hong Kong
Downloads 130 (314,569)
Citation 2

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12.
Downloads 102 (372,865)
Citation 46

Risk Preferences and the Macro Announcement Premium

Number of pages: 61 Posted: 27 Sep 2016
Hengjie Ai and Ravi Bansal
University of Wisconsin-Madison and Duke University and NBER
Downloads 56 (529,297)

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Risk Preferences and the Macro Announcement Premium

NBER Working Paper No. w22527
Number of pages: 62 Posted: 22 Aug 2016 Last Revised: 22 Jul 2022
Hengjie Ai and Ravi Bansal
University of Wisconsin-Madison and Duke University and NBER
Downloads 46 (577,608)
Citation 33

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13.

Investment and CEO Compensation Under Limited Commitment

Number of pages: 62 Posted: 01 Nov 2013
Hengjie Ai, Rui Li and Rui Li
University of Wisconsin-Madison and University of Wisconsin - MadisonPurdue University - Department of Economics
Downloads 94 (392,877)
Citation 18

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Dynamic Contracting, Limited Commitment, Investment, Q-Theory

14.

A Mechanism Design Model of Firm Dynamics: The Case of Limited Commitment

Number of pages: 61 Posted: 01 Nov 2013
Hengjie Ai, Dana Kiku, Rui Li and Rui Li
University of Wisconsin-Madison, University of Illinois at Urbana-Champaign and University of Wisconsin - MadisonPurdue University - Department of Economics
Downloads 86 (415,195)
Citation 14

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Mechanism Design, Limited Commitment, Firm Dynamics

15.

Volatility Risks and Growth Options

Finance Down Under 2014 Building on the Best from the Cellars of Finance
Number of pages: 56 Posted: 01 Nov 2013
Hengjie Ai and Dana Kiku
University of Wisconsin-Madison and University of Illinois at Urbana-Champaign
Downloads 35 (626,319)
Citation 7

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16.

Asset Pricing with Endogenously Uninsurable Tail Risk

NBER Working Paper No. w24972
Number of pages: 93 Posted: 17 Sep 2018 Last Revised: 27 Mar 2022
Hengjie Ai and Anmol Bhandari
University of Wisconsin-Madison and University of Minnesota - Minneapolis - Department of Economics
Downloads 29 (665,007)

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17.

A Model of the Macroeconomic Announcement Premium with Production

Posted: 28 Nov 2018
Hengjie Ai, Ravi Bansal, Jay Im and Chao Ying
University of Wisconsin-Madison, Duke University and NBER, Board of Governors of the Federal Reserve System and Chinese University of Hong Kong

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announcement premium, generalized risk sensitivity, production

18.

Financial Intermediation and Capital Reallocation

Posted: 02 Dec 2016
Hengjie Ai, Kai Li and Fang Yang
University of Wisconsin-Madison, Peking University HSBC Business School and Federal Reserve Banks - Federal Reserve Bank of Dallas

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financial Intermediation, Capital Misallocation, Volatility, Crisis, Limited enforcement