Arno A. Rayner Chair in Finance and Management
Finance Department, Haas School of Business
Annette Vissing-Jorgensen holds the Arno A. Rayner Chair in Finance and Management at the Haas School of Business and is the chair for the finance group. Her research focuses on empirical asset pricing, monetary policy, household finance and entrepreneurship. Her research thus spans both asset pricing and corporate finance. She is a research associate in the NBER's Asset Pricing program, Monetary Economics program, and Economic Fluctuations and Growth program and is a research fellow in the CEPR's Financial Economics program. She is an Associate Editor of the Journal of Finance and (as of 2014) a director of both the American Finance Association and the European Finance Association.
Summary of recent papers:
In Stock Returns over the FOMC Cycle (2015), Annette Vissing-Jorgensen with Anna Cieslak and Adair Morse document that since 1994 the equity premium in the US and in the rest of the world is earned entirely in weeks 0, 2, 4 and 6 in FOMC cycle time, i.e. in time since the last Federal Open Market Committee meeting. This likely reflects a risk premium for news (about monetary policy or the macro economy) coming from the Federal Reserve: (1) The FOMC calendar is quite irregular and changes across sub-periods over which their finding is robust. (2) Even weeks in FOMC cycle time do not line up with important macro releases. (3) Volatility in the federal funds market peaks during even weeks in FOMC cycle time. (4) Information processing/decision making within the Fed tends to happen bi-weekly in FOMC cycle time: The bi-weekly cycle is driven mainly by even week observations that follow board meetings of the Board of Governors. Furthermore, before 1994, inter-meeting target changes were common and disproportionately took place during even weeks in FOMC cycle time. High return weeks do not line up with public information releases from the Federal Reserve or with the frequency of speeches by Fed officials. Systematic informal communication of Federal Reserve officials with the media and the financial sector is a more plausible information transmission mechanism. They discuss the social costs and benefits of this method of communication.
In ECB Policies involving Government Bond Purchases: Impact and Channels (2014), Annette Vissing-Jorgensen, Arvind Krishnamurthy (Northwestern University), and Stefan Nagel (University of Michigan) evaluate three ECB policies involving government bond purchases, the Securities Markets Programme, the Outright Monetary Transactions, and the 3-year Long-Term Refinancing Operations using an event-study approach. Focusing on Italy, Spain and Portugal, they find that the policies reduced sovereign bond yields dramatically. The primary channel is a reduction in default risk. Secondary channels are a reduced probability of Euro-breakup (redenomination risk), and market segmentation effects. The redenomination risk channel is operative mainly for Spain and Portugal, but not for Italy. They document increases in private asset values in both distressed and core countries and find that ECB policies aimed at reducing government bond yields also have beneficial macroeconomic spillovers.