Title: Expected returns, yield spreads, and asset pricing tests
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.
Subjects: Assets (Accounting), Econometric models, Mathematical models, Prices, Rate of return