Using sovereign debt data from 47 countries, we document that the third moment (skewness) of unemployment changes has a positive and significant relation with sovereign bond returns. Thus, while investors require risk premia for exposure to macroeconomic shocks (Campbell, 1996), we find that the skewness of unemployment changes contains information that helps to explain sovereign bond returns beyond the shocks to the unemployment rate. This relation holds for both dollar and local currency sovereign debt returns, and after controlling for the information content of news events. The relation is greater in economic expansions than in contractions.