Hengjie Ai

University of Wisconsin-Madison

975 University Avenue

Madison, WI 53706

United States

http://www.hengjieai.com

  • University of Wisconsin-Madison

SCHOLARLY PAPERS

19

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6,870

SSRN CITATIONS
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Top 3,410

in Total Papers Citations

365

CROSSREF CITATIONS

108

Scholarly Papers (19)

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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 1,962 (14,006)
Citation 8

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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
Hengjie Ai, Mariano (Max) Massimiliano Croce and Kai Li
University of Wisconsin-Madison, Finance Department, Bocconi University and Peking University HSBC Business School
Downloads 1,118 (32,713)
Citation 36

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Asset Pricing, General Equilibrium, Intangible Capital, Value Premium

3.

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

Downloads 893 (44,782)
Citation 40

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

Number of pages: 67 Posted: 18 Nov 2012 Last Revised: 05 Sep 2017
Hengjie Ai, Mariano (Max) Massimiliano Croce, Anthony M. Diercks and Kai Li
University of Wisconsin-Madison, Finance Department, Bocconi University, Board of Governors of the Federal Reserve System and Peking University HSBC Business School
Downloads 788 (52,377)
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
Mariano (Max) Massimiliano Croce, Hengjie Ai, Anthony M. Diercks and Kai Li
Finance Department, Bocconi University, University of Wisconsin-Madison, Board of Governors of the Federal Reserve System and Peking University HSBC Business School
Downloads 105 (423,253)
Citation 3

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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
Hengjie Ai, Mariano (Max) Massimiliano Croce, Anthony M. Diercks and Kai Li
University of Wisconsin-Madison, Finance Department, Bocconi University, Board of Governors of the Federal Reserve System and Peking University HSBC Business School
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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
Hengjie Ai, Leyla Jianyu Han, Xuhui (Nick) Pan and Lai Xu
University of Wisconsin-Madison, Boston University - Questrom School of Business, University of Oklahoma and Syracuse University
Downloads 560 (82,541)
Citation 6

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FOMC Announcement, Implied Variance, Cross Section, Equity Returns

5.

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 344 (146,080)
Citation 3

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

6.

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 311 (162,577)

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Information, Return Volatility, Macroeconomic Announcements, Generalized Risk Sensitivity

7.

Moral Hazard, Investment, and Firm Dynamics

Downloads 244 (208,059)
Citation 2

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 166 (295,735)
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 78 (513,654)

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

8.

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, University of Warwick - Warwick Business School, Peking University HSBC Business School and Goethe University Frankfurt
Downloads 239 (212,333)
Citation 15

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Cross-Section of Returns, Financial Frictions, Collateral Constraint

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 217 (232,862)
Citation 4

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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 198 (256,780)
Citation 44

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

11.

Identifying Preference for Early Resolution from Asset Prices

Downloads 176 (281,207)
Citation 1

Identifying Preference for Early Resolution from Asset Prices

Number of pages: 52 Posted: 07 Mar 2023
Hengjie Ai, Ravi Bansal, Hongye Guo, Amir Yaron and Amir Yaron
University of Wisconsin-Madison, Duke University and NBER, University of Pennsylvania and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 161 (303,479)

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preference for early resolution of uncertainty, generalized risk sensitivity, macroeconomic announcements, volatility

Identifying Preference for Early Resolution from Asset Prices

NBER Working Paper No. w31087
Number of pages: 53 Posted: 03 Apr 2023 Last Revised: 11 Jun 2023
Hengjie Ai, Ravi Bansal, Hongye Guo, Amir Yaron and Amir Yaron
University of Wisconsin-Madison, Duke University and NBER, University of Pennsylvania and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 15 (927,285)
Citation 1
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12.

Capital Misallocation and Risk Sharing

Number of pages: 33 Posted: 11 Mar 2020 Last Revised: 25 Oct 2021
Hengjie Ai, Anmol Bhandari, Yuchen Chen and Chao Ying
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 174 (284,088)
Citation 1

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13.

Risk Preferences and the Macro Announcement Premium

Downloads 122 (377,576)
Citation 85

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 62 (584,039)

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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 2023
Hengjie Ai and Ravi Bansal
University of Wisconsin-Madison and Duke University and NBER
Downloads 60 (593,816)
Citation 33

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14.

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 118 (386,896)
Citation 18

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Dynamic Contracting, Limited Commitment, Investment, Q-Theory

15.

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 103 (426,434)
Citation 11

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Mechanism Design, Limited Commitment, Firm Dynamics

16.

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 52 (624,606)
Citation 14

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17.

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 39 (701,507)

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18.

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

19.

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