The dissertation consists of three essays in asset pricing. Chapter I is motivated by the recent surge in institutional investment in commodity futures markets. The chapter studies how commodity risk is priced in stock and futures markets and asks whether this risk premium is time-varying with...

We study how short- and long-term equity claims respond to news about long-term economic growth and analyze the relative contribution of cash flows and discount rates to this response. To this end, we add the equity yields from Giglio, Kelly, and Kozak (2020) to a standard structural macro-VAR...

We find that the relation between state variables, such as the t-bill rate and term spread, and consumption growth is time-varying. In the cross-section of US stocks, risk premia for exposure to state variables vary over time accordingly. When a state variable predicts consumption strongly...

We estimate the response of corporate bond credit spreads to three exogenous shocks: oil supply, investment-specific technology, and government spending. Credit spreads respond significantly to these macroeconomic shocks; the response is similar in magnitude, opposite in sign, and with a slight...

We show that decomposing macroeconomic risks across horizon is key to uncover a tight link between risk premia and the real economy. Exposure in four-year returns to innovations in macroeconomic growth and volatility with a matching half-life of over four years is priced in a wide variety of...