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 U.S. Department of the Treasury unveils its refunding plan, outlining the size and maturity composition of Treasury issuances for the upcoming quarters. We document substantial positive returns on long-term Treasurys on the day …

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 …