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 account for up to 31% of the variation in excess bond...

We present a novel explanation of the cross-sectional seasonality anomaly in government bond returns. The macroeconomic risk premia may accrue unevenly during the calendar year, and the pattern may be transferred to government bond prices. We decompose the seasonality strategy payoffs into...

Various macroeconomic announcements are known to influence asset price volatility. While contemplating the impact of a variety of macro news surprises, we highlight the importance of Treasury auctions – a news event that has ramifications for interest rates across the economy and which are...