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 …

risk aversion and the intertemporal elasticity of substitution. The three-way separation allows the model to further … account for the variance premium puzzle, besides the puzzles of the equity premium, the risk-free rate, and the return … predictability. Specifically, the model matches reasonably well key asset pricing moments with risk aversion under 5. By calibration …

the aggregate volatility risk factor explains low returns to stocks with high maximum returns in the past (Bali, Cakici …, and Whitelaw, 2011) and high expected skewness (Boyer, Mitton, and Vorkink, 2010). Aggregate volatility risk also explains …

and 4 years is effective in explaining the differences in risk premia across alternative test assets, including recently …

count of the word “uncertainty” over the sum of the count of the word “uncertainty” and the count of the word “risk” in …

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 …