@techreport{NBERw11323,
 title = "Expected Returns, Yield Spreads, and Asset Pricing Tests",
 author = "Murillo Campello and Long Chen and Lu Zhang",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "11323",
 year = "2005",
 month = "May",
 URL = "http://www.nber.org/papers/w11323",
 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.},
}