Expected Returns, Yield Spreads, and Asset Pricing Tests
نویسندگان
چکیده
منابع مشابه
Expected Returns, Yield Spreads, and Asset Pricing Tests
We use information contained in yield spreads to recover investors ex ante required rates of return on corporate securities, and then use these ex ante returns to study the pricing of risky assets. Differently from the standard approach, our asset pricing tests do not rely on the use of ex post average equity returns as proxies for expected equity returns. We Þnd that: (i) the market beta play...
متن کاملAsset Pricing Tests Using Realized Returns
Results from two-stage (cross-sectional) asset pricing tests vary with first-stage design choices and the test assets employed. First, I argue that time-varying loadings have higher construct validity as explanatory variables for the current expected return in that they do not contain future information and more accurately describe the timevarying risk of the firm. Second, I introduce randomly ...
متن کاملTesting Asset Pricing Models with Long-Run Expected Returns
We introduce a framework for testing asset pricing models based on their implications for book-to-market ratios. We focus on the performance of beta pricing models, such as the Fama-French ve-factor model. Our tests exploit the fact that book-tomarket ratios represent expectations of long-run cash ows and stock returns. Imposing this relation and a given asset pricing model, we jointly estima...
متن کاملAlternative Tests for Monotonicity in Expected Asset Returns∗
Many postulated relations in finance imply that expected asset returns should monotonically increase in a certain characteristic. To examine the validity of such a claim, one typically considers a finite number of return categories, ordered according to the underlying characteristic. A standard approach is to simply test for a difference in expected returns between the highest and the lowest re...
متن کاملImplied Volatility Spreads and Expected Market Returns
To save space, we present some of our …ndings in the Online Appendix. In Section I, we investigate the intertemporal relation between various skewness measures and expected market returns. In Section II, we orthogonalize the implied volatility spread measures with respect to the implied variance, realized variance, physical skewness and risk-neutral skewness measures. In Section III, we orthogo...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2006
ISSN: 1556-5068
DOI: 10.2139/ssrn.491403