  This paper introduces a dynamic change of measure approach for computing the
analytical solutions of expected future prices (and therefore, expected
returns) of contingent claims over a finite horizon. The new approach
constructs hybrid probability measures called the "equivalent expectation
measures"(EEMs), which provide the physical expectation of the claim's future
price until before the horizon date, and serve as pricing measures on or after
the horizon date. The EEM theory can be used for empirical investigations of
both the cross-section and the term structure of returns of contingent claims,
such as Treasury bonds, corporate bonds, and financial derivatives.
