We propose a new model of expected stock returns that incorporates quantity information from market trading activities into the factor pricing framework. We posit that the expected return of a stock is determined by not only its factor risk exposures …

We document substantial and intensifying positive returns in medium- and long-term Treasury bonds on the day before the Treasury Refunding Announcements (TRAs), an important quarterly fiscal event where future issuance plans are unveiled. Pre-TRA …

I document a robust pattern in how Treasury market participants' yield curve expectations respond to new information: forecasts for short-term rates underreact to news while forecasts for long-term rates overreact. I propose a new explanation of this …