random magnitudes. Jump risk premia are allowed for. We show that the model implies a closed-form representation of yields as …-shaped pattern on employment report days (but not on other days). The model also produces patterns in bond risk premia that are …

volatility risk. While pointing out the joint pricing kernel is not identified nonparametrically, we propose model-free estimates …

-looking market-based risk measures provide significant explanatory power in predicting net leverage changes in excess of accounting …, leverage, and distress risk puzzles, firms with lower predicted leverage increases are riskier but earn lower abnormal returns …

estimate "macro risk factors" that drive "bad" (negatively skewed) and "good" (positively skewed) variation for supply and … significantly contribute to the variation yields, risk premiums and return variances for nominal bonds. While overall bond risk … premiums are counter-cyclical, an increase in demand variance lowers risk premiums …