TY  - JOUR
AU  - Campello,Murillo
AU  - Chen,Long
AU  - Zhang,Lu
TI  - Expected Returns, Yield Spreads, and Asset Pricing Tests
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 11323
PY  - 2005
Y2  - May 2005
UR  - http://www.nber.org/papers/w11323
L1  - http://www.nber.org/papers/w11323.pdf
N1  - Author contact info:
Murillo Campello
Johnson Graduate School of Management
Cornell University
114 East Avenue
369 Sage Hall
Ithaca, NY 148531-6201
Tel: 607-255-1282
E-Mail: campello@cornell.edu

Long Chen
212 Simon Hall
1 Olympian Way
John M. Olin Business School
Washington University in St. Louis
St. Louis MO 63130
Tel: 517-353-2955
Fax: 517-432-1080
E-Mail: lchen29@wustl.edu

Lu Zhang
Fisher College of Business
The Ohio State University
2100 Neil Avenue
Columbus, OH 43210
Tel: 585-267-6250
E-Mail: zhanglu@fisher.osu.edu
AB  - 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.
ER  -