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 …

Each quarter, the Treasury Department unveils its refunding plan, detailing the following quarter's treasury issuances in terms of size and maturity composition. We document substantial positive returns on long-term Treasurys on the day before these …

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 …