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						<h1 itemprop="headline">Finance Seminar: Annette Vissing-Jørgensen, Board of Governors of the Federal Reserve System</h1>
						
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							<p class="text--intro" itemprop="description">Title: Equity Premium Events</p>
						
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												<h3 class="news-event__info__item__header text--label-header">Time</h3>
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														Thursday 11  September 2025,
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														&nbsp;at 12:45 -  13:45
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														<p>Fuglesangs Allé 4, 8210 Aarhus V, Building 2632(L), Room 242</p>
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														Matthias Lassak
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														<span itemprop="name">Pernille Vorsø Jachobsen</span>
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									<p>Presenter:&nbsp;<a href="https://www.federalreserve.gov/econres/annette-vissing-jorgensen.htm" target="_self">Annette Vissing-Jørgensen</a>, Board of Governors of the Federal Reserve System</p>
<p>Title: Equity Premium Events</p>
<p>Abstract: Using daily S&amp;P 500 option expirations, we develop a methodology for determining&nbsp;which days are “equity premium events”: days with significantly elevated ex-ante equity premium relative to the daily equity term structure. Using a data-driven approach, we find that a variety of macroeconomic and political events exhibit significantly elevated premia. Among macro releases, FOMC, nonfarm payrolls and CPI have&nbsp;the largest abnormal equity premia and these increase substantially between June 2022 and June 2023. However, the elevated equity premia on macro release days account for a significantly smaller share of total ex-ante equity premia compared to previous estimates using realized excess returns. To provide intuition for the significant variation in equity premia across announcement types and time, we propose an asset pricing framework that decomposes the equity premium for a given event into components due to news variance and sensitivities of the stock market and the SDF to the news released.</p>
<p>Host: <a href="https://econ.au.dk/contact/show/person/cchristiansen@econ.au.dk" target="_self">Charlotte Christiansen</a></p>
<p><a href="http://econ.au.dk/research/seminars/accounting-and-finance-seminar-series/" target="_self">See all Finance Seminars</a></p>
								
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