Expected Returns, Yield Spreads, and Asset Pricing Tests

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

No 11323, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We use yield spreads to construct ex-ante returns on corporate securities, and then use the ex-ante returns in asset pricing assets. Differently from the standard approach, our tests do not use ex-post average returns as a proxy for expected returns. We find that the market beta plays a much more important role in the cross-section of expected returns than previously reported. The expected value premium is significantly positive and countercyclical. We find no evidence of ex-ante positive momentum profits.

JEL-codes: E44 G12 (search for similar items in EconPapers)
Date: 2005-05
Note: AP
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Published as Murillo Campello & Long Chen & Lu Zhang, 2008. "Expected returns, yield spreads, and asset pricing tests," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 21(3), pages 1297-1338, May.
Published as Lu Zhang & Murillo Campello & Long Chen, 2005. "Expected returns, yield spreads, and asset pricing tests," Proceedings, Board of Governors of the Federal Reserve System (U.S.).

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Journal Article: Expected returns, yield spreads, and asset pricing tests (2008)
Journal Article: Expected returns, yield spreads, and asset pricing tests (2005)
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