Expected returns, yield spreads, and asset pricing tests

Murillo Campello, Long Chen () and Lu Zhang ()

The Review of Financial Studies, 2008, vol. 21, issue 3, 1297-1338

Abstract: We construct firm-specific measures of expected equity returns using corporate bond yields, and replace standard ex post average returns with our expected-return measures in asset pricing tests. We find that the market beta is significantly priced in the cross section of expected returns. The expected size and value premiums are positive and countercyclical, but there is no evidence of positive expected momentum profits. The Author 2008. Published by Oxford University Press on behalf of the Society for Financial Studies. All rights reserved. For permissions, please e-mail: journals.permissions@oxfordjournals.org., Oxford University Press.

Date: 2008
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Journal Article: Expected returns, yield spreads, and asset pricing tests (2005)
Working Paper: Expected Returns, Yield Spreads, and Asset Pricing Tests (2005)
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