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 …

-pricing formula applies to far-out-of-the money put options on the stock market when disaster risk dominates, the size distribution of …

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 …

A risk factor linked to aggregate equity issuance conditions explains the empirical performance of investment factors … based on the asset growth anomaly of Cooper, Gulen, and Schill (2008). This new risk factor, dubbed equity financing risk …