This dissertation consists of two main essays in which it extends our knowledge on how stock market investors process the information from macro announcements. In the first essay, we extend the existing econometric theory to study the relation between jumps in multiple processes at a...

A significant fraction of firms' financing occurs via public debt markets. Accordingly, we investigate whether financial statement characteristics and other variables that predict equity returns also predict corporate bond returns. Profitability, asset growth, and equity market capitalization...