| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w11323 |
| 来源ID | Working Paper 11323 |
| Expected Returns, Yield Spreads, and Asset Pricing Tests | |
| Murillo Campello; Long Chen; Lu Zhang | |
| 发表日期 | 2005-05-09 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Macroeconomics ; Money and Interest Rates |
| URL | https://www.nber.org/papers/w11323 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/568962 |
| 推荐引用方式 GB/T 7714 | Murillo Campello,Long Chen,Lu Zhang. Expected Returns, Yield Spreads, and Asset Pricing Tests. 2005. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w11323.pdf（309KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
