Ivan Shaliastovich, Associate Professor, Wisconsin School of Business: Premium for Government Policy Announcements: State of the Union Address

Time: 2021-10-22 09:57 Print

Topic: Premium for Government Policy Announcements: State of the Union Address

Speaker: Ivan ShaliastovichAssociate Professor, Thomas D. and Barbara C. Stevens Distinguished Chair in Finance, Wisconsin School of Business, University of Wisconsin-Madison

Date: October 27, 2021 (Wednesday)

Time: 10:00-11:30

Location: 4-101

Language: English


State of the Union (SOTU) address is one of the most important political events in the U.S. at which the President announces policy proposals and legislative priorities for the year. Unlike traditional macroeconomic and monetary policy announcements studied in the literature, SOTU addresses go back to the 1930s, which allows to extend and refine the announcement evidence in a longer sample and an alternative context of broad government policy. We find that stock market returns on SOTU days are an order of magnitude higher than on other days; show strong pre- and some evidence for post-announcement drift; increase with more ex-ante uncertainty and in bad economic conditions. While SOTU days are preceded by high investors’ attention, the trading volume significantly drops at the announcement day, and recovers the day after. The overall evidence supports the risk premium/uncertainty resolution channel, coupled with information arrival prior to the announcement.


About the Speaker:

Ivan Shaliastovich is Thomas D. and Barbara C. Stevens Distinguished Chair in Finance and an Associate Professor in the Department of Finance at the Wisconsin School of Business. Ivan’s areas of expertise are in asset pricing and financial econometrics. His research falls into three main areas: volatility risks, the term structure of interest rates, and investor learning in securities markets. His work in these three areas is tied together by a focus on macroeconomic uncertainty, and how it impacts the economy and financial markets. His work is published in the Review of Financial Studies, Journal of Finance, Journal of Financial Economics, and the Journal of Econometrics, among others.   

At the University of Wisconsin-Madison, Ivan teaches undergraduate, graduate, and Ph.D. students in Finance. He serves as an Associate Editor of the Journal of Banking and Finance and of Quantitative Economics.

Ivan received his Ph.D. and M.A. in Economics from Duke University, and his B.A. in Economics and Mathematics from the American University in Bulgaria. He was at Wharton, University of Pennsylvania, before joining Wisconsin School of Business.