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In the paper "Economic Forces and the Stock Market" by Chen, Roll and Ross, unanticipated risk premium (URP) is tested as a potential risk factor for stock returns. This factor is commonly calculated as the difference between the return on a low-grade bond index and the return on a portfolio of long-term government bonds.

However, in this paper, there is no mention as to what type of return is used to compute URP. Any guess as to whether it would be Month-to-date total return, Yield to maturity, ...?

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This is really too basic so I'm gonna close this. The answer is it depends, how you compute your risk-premium, which is actually often referred as spread. You can look at this post where I discuss some of the spread measures. –  SRKX Sep 13 '13 at 15:13
    
The post is absolutely not related to my question. My question is also not basic at all, since there is a confusion as to the inputs of unanticipated risk premium (yield, vs. total return vs. price return). I am fully aware of what unanticipated risk premium is, but the computation differs in literature. –  Mayou Sep 13 '13 at 15:28
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I misunderstand it then, I'll let the community answer it then. Feel free to add background to your questions to make sure if there is usual confusion in a topic as you say. –  SRKX Sep 13 '13 at 15:38
    
I made some edits. Thanks! –  Mayou Sep 13 '13 at 15:42

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