Expected returns, yield spreads, and asset pricing tests
利用公司债券收益率构建公司层面的预期股票收益度量，替代传统事后平均收益进行资产定价检验，发现市场贝塔在预期收益横截面中显著定价，预期规模和价值溢价为正且逆周期，但预期动量利润不显著。
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. The Author 2008. Published by Oxford University Press on behalf of the Society for Financial Studies. All rights reserved. For permissions, please e-mail: journals.permissions@oxfordjournals.org., Oxford University Press.