Time Varying Term Premia and Traditional Hypotheses about the Term Structure
Journal of Finance, 1990, vol. 45, issue 4, 1307-14
Empirical evidence of time varying term premia in bond returns is frequently interpreted as evidence against the expectations hypothesis. This paper shows that the expectations hypothesis can actually imply time varying term premia if the time frame for which the expectations hypothesis holds differs from the return measurement period. Furthermore, many of the properties of these term premia are consistent with those of observed term premia. These results are important because they imply that the case against the expectations hypothesis is weaker than claimed in the empirical literature. Copyright 1990 by American Finance Association.
References: Add references at CitEc
Citations View citations in EconPapers (8) Track citations by RSS feed
Downloads: (external link)
http://links.jstor.org/sici?sici=0022-1082%2819900 ... O%3B2-X&origin=repec full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bla:jfinan:v:45:y:1990:i:4:p:1307-14
Ordering information: This journal article can be ordered from
Access Statistics for this article
More articles in Journal of Finance from American Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing ().