NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Expected Returns, Yield Spreads, and Asset Pricing Tests

Murillo Campello, Long Chen, Lu Zhang

NBER Working Paper No. 11323
Issued in May 2005
NBER Program(s):   AP

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.

download in pdf format
   (310 K)

email paper

This paper is available as PDF (310 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w11323

Published:

  • 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. ,
  • 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.).

Users who downloaded this paper also downloaded these:
Longstaff, Mithal, and Neis w10418 Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market
Das, Duffie, Kapadia, and Saita w11961 Common Failings: How Corporate Defaults are Correlated
Chen, Petkova, and Zhang w12183 The Expected Value Premium
 
Publications
Activities
Meetings
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us