Portfolio Implications of Empirical Rejections of the Expectations Hypothesis

David A. Hsieh and Leonardo Leiderman

No 275402, Foerder Institute for Economic Research Working Papers from Tel-Aviv University > Foerder Institute for Economic Research

Abstract: The purpose of this paper is to characterize a portfolio strategy that exploits the information conveyed by empirical rejections of the termstructure Expectations Hypothesis. After providing new evidence on such rejections, the analysis derives optimal portfolio positions across Treasury bills of 1 through 6 months maturities and gives a quantitative assessment of the implied risk/return tradeoffs.

Keywords: Financial; Economics (search for similar items in EconPapers)
Pages: 19
Date: 1986-01
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Persistent link: https://EconPapers.repec.org/RePEc:ags:isfiwp:275402

DOI: 10.22004/ag.econ.275402

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