Expected returns, yield spreads, and asset pricing tests
By: Murillo Campello, Long Chen, Lu Zhang.
Contributors: Chen, Long, 1969-; Zhang, Lu, 1972-; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 11323; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 11323.
Publisher: National Bureau of Economic Research
Published: 2005
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Rate of return -- Mathematical models.; Assets (Accounting) -- Prices -- Mathematical models.
Description: "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"--National Bureau of Economic Research web site.
Notes: Includes bibliographical references.
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Mode of access: World Wide Web.