The duration of business cycles, especially recessions, is time-varying, generating time-varying investor concern about future recessions. This paper studies a new macro-factor model that links expected returns to time-varying investor concern about future recessions. I measure investor expectations of recession by the term structure of recession probabilities from the Survey of Professional Forecasters. A heightened slope of the term structure is associated with lower real aggregate output and consumption growth over the subsequent three years. The slope also predicts real labor income up to three years ahead. A three-factor recession risk model, including market excess return and the innovations to the level and slope of the term structure, describes average returns on the Fama-French 25 size- and book-to-market-sorted portfolios. The innovation to the slope is robustly priced with a negative market price of risk, and helps explain the cross section of average returns on equity portfolios sorted on size, book-to-market equity, past long term returns, and asset growth. The tracking portfolios of the model help reconcile the joint cross section of returns on equities, currencies and equity index options and have comparable pricing performance to several return-based multi-factor benchmarks. These findings support the view that the slope of the term structure of recession probabilities is a recession state variable and further suggest that an economic source of risk premia on these assets considered can be attributed to time-varying investor concern over future recessions that is priced.