Riding the Yield Curve: Reprise

Robin Grieves and Alan Marcus

No 3511, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We investigate the efficacy of riding the yield curve. This strategy dictates holding longer-term treasury bills when the yield curve is upwardsloping. We find that the strategy is surprisingly effective. it stochastically dominates buying and holding shorter-term bills for large subperiods, and nearly dominates for the entire sample period, 1949-1988. Our empirical results suggest that abnormal profit opportunities are available from selectively increasing the maturity of a short-term portfolio.

Date: 1990-11
Note: ME
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Citations: View citations in EconPapers (2)

Published as Robin Grieves & Alan J. Marcus, 1992. "Riding the Yield Curve," The Journal of Portfolio Management, vol 18(4), pages 67-76.

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