Expected Returns, Yield Spreads, and Asset Pricing Tests / Murillo Campello, Long Chen, Lu Zhang.

Format:

Book

Author/Creator:

Campello, Murillo.

Contributor:

National Bureau of Economic Research.

Chen, Long.

Zhang, Lu.

Series:

Working Paper Series (National Bureau of Economic Research) no. w11323.

NBER working paper series no. w11323

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2005.

Summary:

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.

Notes:

Print version record

May 2005.