Abstract

http://ssrn.com/abstract=491403
 
 

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Expected Returns, Yield Spreads, and Asset Pricing Tests


Murillo Campello


Cornell University; National Bureau of Economic Research (NBER)

Long Chen


Cheung Kong Graduate School of Business

Lu Zhang


Ohio State University - Fisher College of Business; National Bureau of Economic Research (NBER)

January 2006

Simon School Working Paper No. FR 04-04
AFA 2005 Philadelphia Meetings

Abstract:     
We use corporate bond yield spreads to gauge investors' return expectations. We then replace standard ex-post, averaged measures of return with our ex-ante return measures in asset pricing assets. We find that the market beta plays a significant role in the cross-section of returns when expectations are measured ex-ante. The expected size and value premia are significantly positive and countercyclical, but there is no evidence of ex-ante positive momentum profits.

Number of Pages in PDF File: 48

Keywords: Expected Returns, Risk Factors, Systematic Risk, Yield Spreads

JEL Classification: G12, E44

working papers series


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Date posted: December 12, 2004  

Suggested Citation

Campello, Murillo and Chen, Long and Zhang, Lu, Expected Returns, Yield Spreads, and Asset Pricing Tests (January 2006). Simon School Working Paper No. FR 04-04; AFA 2005 Philadelphia Meetings. Available at SSRN: http://ssrn.com/abstract=491403 or http://dx.doi.org/10.2139/ssrn.491403

Contact Information

Murillo Campello
Cornell University ( email )
114 East Avenue
369 Sage Hall
Ithaca, NY 14853
United States
HOME PAGE: http://www.johnson.cornell.edu/Faculty-And-Research/Profile.aspx?id=mnc35

National Bureau of Economic Research (NBER) ( email )
1050 Massachusetts Avenue
Cambridge, MA 02138
Long Chen
Cheung Kong Graduate School of Business ( email )
Oriental Plaza, Tower E3
One East Chang An Avenue
Beijing, 100738
China
Lu Zhang (Contact Author)
Ohio State University - Fisher College of Business ( email )
2100 Neil Avenue
Columbus, OH 43210-1144
United States
585-267-6250 (Phone)
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
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