deviation increase in EPU is associated with a 1.11% decrease in risk-adjusted momentum returns. The predictive power of EPU is …

We contribute to the growing debate on the relation between macroeconomic risk and stock price momentum. Not only is … exist, winner and loser factor loadings offset nearly completely. Furthermore, the magnitude of macroeconomic risk premia …

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …

risk premia may accrue unevenly during the calendar year, and the pattern may be transferred to government bond prices. We … for the predicted component, linking the sources of the phenomenon with macroeconomic risk factors …

on the state of the economy. I show that a conditional model with investors' beliefs and an uncertainty risk factor is … risk factor retains its incremental explanatory power when compared to other conditional models such as the conditional …