2005, English, Article, Working paper edition: Expected returns, yield spreads, and asset pricing tests [electronic resource] / Murillo Campello, Long Chen, Lu Zhang. Campello, Murillo.

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Published
  • Cambridge, MA : National Bureau of Economic Research, c2005.
Language
  • English

Edition details

Title
  • Expected returns, yield spreads, and asset pricing tests /​ Murillo Campello, Long Chen, Lu Zhang.
Author
  • Campello, Murillo.
Other Authors
  • Zhang, Lu, 1972-
  • Chen, Long, 1969-
  • National Bureau of Economic Research.
Published
  • Cambridge, MA : National Bureau of Economic Research, c2005.
Medium
  • [electronic resource]
Series
Subjects
Summary
  • "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"--National Bureau of Economic Research web site.
Notes
  • Title from PDF file as viewed on 6/​28/​2005.
  • Includes bibliographical references.
  • Also available in print.
Technical Details
  • System requirements: Adobe Acrobat Reader
  • Mode of access: World Wide Web
Language
  • English
Libraries Australia ID
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Libraries Australia

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