Expected Returns, Yield Spreads, and Asset Pricing Tests

Posted: 2 Jul 2008

See all articles by Murillo Campello

Murillo Campello

Cornell University - Samuel Curtis Johnson Graduate School of Management; National Bureau of Economic Research (NBER)

Multiple version iconThere are 4 versions of this paper

Date Written: May 2008

Abstract

We construct firm-specific measures of expected equity returns using corporate bond yields, and replace standard ex postaverage returns with our expected-return measures in asset pricing tests. We find that the market beta is significantly priced in the cross section of expected returns. The expected size and value premiums are positive and countercyclical, but there is no evidence of positive expected momentum profits.

Keywords: G12, E44

Suggested Citation

Campello, Murillo, Expected Returns, Yield Spreads, and Asset Pricing Tests (May 2008). The Review of Financial Studies, Vol. 21, Issue 3, pp. 1297-1338, 2008. Available at SSRN: https://ssrn.com/abstract=1154430 or http://dx.doi.org/hhn011

Murillo Campello (Contact Author)

Cornell University - Samuel Curtis Johnson Graduate School of Management ( email )

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HOME PAGE: http://www.johnson.cornell.edu/Faculty-And-Research/Profile.aspx?id=mnc35

National Bureau of Economic Research (NBER) ( email )

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