一、主题：Premium for Heightened Uncertainty: Solving the FOMC Puzzle
二、主讲人：胡杏，香港大学助理教授。在普林斯顿大学经济学博士学位，在西北大学获得硕士学位，本科毕业于中国科技大学计算机专业。她的主要研究领域是实证资产定价，尤其是流动性、信用风险和金融危机领域。她的研究成果在Journal of Finance、Journal of Financial Economics、International Review of Finance等国际著名期刊发表。
Lucca and Moench (2015) document that prior to the announcement from FOMC meetings, the stock market yields substantial returns without major increase in conventional measures of risk. This presents a “puzzle” to the simple risk-return connection in most (static) asset pricing models. We hypothesis that the arrival of macroeconomic news, with FOMC announcements at the top of the list, brings heightened uncertainty to the market, as investors cautiously await and assess the outcome. While this heightened uncertainty may not be accurately captured by conventional risk measures, its dissolution occurs during a short time window, mostly prior to the announcement, bringing a significant price appreciation. This hypothesis leads to two testable implications: First, we should see similar return patterns for other pre-scheduled macroeconomic announcements. Second, to the extent that we can find other proxies for heightened uncertainty, we should also observe abnormal returns accompanying its dissolution. Indeed, we find large pre-announcement returns prior to the releases of Nonfarm Payroll, GDP and ISM index. Using CBOE VIX index as a primitive gauge for market uncertainty, we find disproportionally large returns on days following large spike-ups in VIX. Akin to the FOMC result, we find that while such heightened-uncertainty days occur on average only eight times per year, they account for more than 30% of the average annual return on the S&P 500 index. Conversely, we find a gradual but significant build-up in VIX prior to FOMC days, providing direct evidence of heightened uncertainty.