Expected Returns, Yield Spreads, and Asset Pricing Tests
Posted: 2 Jul 2008
There are 4 versions of this paper
Expected Returns, Yield Spreads, and Asset Pricing Tests
Simon School Working Paper No. FR 04-04, AFA 2005 Philadelphia Meetings
Number of pages: 48
Posted: 12 Dec 2004
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1,209
Expected Returns, Yield Spreads, and Asset Pricing Tests
Review of Financial Studies, Forthcoming
Number of pages: 52
Posted: 07 Nov 2007
Downloads
267
Expected Returns, Yield Spreads, and Asset Pricing Tests
NBER Working Paper No. w11323
Number of pages: 41
Posted: 13 Jun 2005
Last Revised: 11 Dec 2022
Downloads
114
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: 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
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