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

-based ex-post measures of macroeconomic risk. Inflation uncertainty is an important driver of bond premia, but the relation …This paper examines the relation between variations in perceived inflation uncertainty and bond premia. Using the … forecasts appears a much less important driver of bond premia. …

risk factors. Risk factor correlation increases when investor sentiment worsens. This suggests that corporate bond … investors change their perception of risk factors, which results in higher risk factor correlation and finally higher bond … is most needed. We examine bond correlation using a broad sample of US corporate bonds. We find bond correlation to be …

"Systematic Downside Risk" (SDR) is defined to characterize this asymmetry in the comovement of betas. This indicator negatively …

Equilibrium bond-pricing models rely on inflation being bad news for future growth to generate upward-sloping nominal …

very important for the risk-return characteristics of the resulting portfolios and their sensitivities to common risk … design elements of low-beta strategies too. If smaller firms are excluded, risk-adjusted returns of low-beta strategies can …

exposure to systematic mispricing can bias tests of risk-return tradeoffs. Controlling for systematic mispricing, we recover … robust positive risk-return relations for many cross-sectional risk proxies, including low-risk and distress anomalies. We … arising from empirical failures of standard pricing models, and show empirical risk-return relations supporting rational …