Abstract
I extract factors from quantile-based risk measures estimated for US macroeconomic variables and document that risks in macroeconomic fundamentals contain valuable information about bond risk premia. Macro risk factors predict bond excess returns with power above and beyond the Cochrane-Piazzesi and Ludvigson-Ng factors, with results being verified statistically as well as economically. Importantly, macro risk factors generate countercyclical bond risk premia and capture unspanned predictability in bond excess returns. These results provide further support for the idea that predictability of bond excess returns cannot be completely summarized by the yield curve. Risks in macroeconomic fundamentals should also be taken into account.