Supplement to "Risk Preferences and the Macroeconomic Announcement Premium"

IN THIS SUPPLEMENT, we provide details of the proofs omitted in the main text and the appendices of the paper. In Section S.1, we prove the equivalence between the Arrow– Debreu setup and the sequential market setup in the two-period model. Section S.2 contains details of the certainty equivalent functionals of dynamic preferences that Theorems 1 and 2 allow for and the associated A-SDF. Section S.3 provides details of the continuous time model in Section 5 of the paper.

Supplemental Authors: 
Ai, Hengjie - University of Minnesota
Bansal, Ravi - Duke University
Online Appendix