Before revision:  The Poisson random measure is associated with an n-dimensional L\'evy process. We show that the excess rate of return of a risky asset in a pure-jump model is given by an integral of the product of a term representing the riskiness of the asset and a term representing the level of market risk aversion.
After revision:  We show how the excess rate of return of a risky asset in a pure-jump model is given by an integral of the product of a term representing the riskiness of the asset and a term representing the level of market risk aversion.