Expected returns, yield spreads, and asset pricing tests

被引:70
作者
Campello, Murillo [2 ,4 ]
Chen, Long [3 ]
Zhang, Lu [1 ,4 ]
机构
[1] Univ Michigan, Stephen M Ross Sch Business, Dept Finance, Ann Arbor, MI 48109 USA
[2] Univ Illinois, Chicago, IL 60680 USA
[3] Michigan State Univ, E Lansing, MI 48824 USA
[4] NBER, Cambridge, MA 02138 USA
关键词
D O I
10.1093/rfs/hhn011
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We construct firm-specific measures of expected equity returns using corporate bond yields, and replace standard ex post average 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.
引用
收藏
页码:1297 / 1338
页数:42
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