Job market paper:
"Macroeconomic Risk in U.S. Equity and Fixed-Income Securities"
I develop an asset pricing model in which investors form behavioral expectations on asset price movements that exhibit stochastic volatility. Investor's preferences consist of macroeconomic-driven non-Gaussian shocks that account for tail events. The one-step ahead predictive distributions of US equity and investment-grade corporate bond returns correctly capture downward spikes during the 2008 financial crisis and the COVID-19 recession. The state update distributions of risky assets provide additional information to the portfolio choice problem, generating higher risk-adjusted returns in the long run.