Expected Return, Realized Return, and Asset Pricing Tests

The following sections are included:

• An Overview

• The Data

  • Price Data

  • Survey and Announcement Data

• Getting Expected Return

• Tests in the Bond Area

  • A Constant Risk Premium

  • Forward Rates and Risk Premiums

  • Factor Analysis

  • Changing Risk Premiums

• Asset Pricing Tests in the Common Stock Area

  • Information Surprises and Tests of a Particular Asset Pricing Model

  • Number of Priced Factors

  • Implications

• Summary

• REFERENCES