Revisiting the expectations hypothesis of the term structure of interest rates

被引：9

作者：

Bulkley, George ^{[2
]}

Harris, Richard D. F. ^{[1
]}

Nawosah, Vivekanand ^{[3
]}

机构：

[1] Univ Exeter, Xfi Ctr Finance & Investment, Exeter EX4 4ST, Devon, England

[2] Univ Bristol, Dept Accounting & Finance, Bristol BS8 1TN, Avon, England

[3] Univ Essex, Essex Business Sch, Colchester CO4 3SQ, Essex, England

来源：

JOURNAL OF BANKING & FINANCE | 2011年 / 35卷 / 05期

基金：

英国经济与社会研究理事会;

关键词：

Expectations hypothesis of the term structure of interest rates; Forward yields; Yield spreads; Campbell and Shiller tests; Vector autoregression; BOND RISK PREMIA; RATIONAL-EXPECTATIONS; MODELS; LONG; INFORMATION; BEHAVIOR; MARKET; TESTS; SPREAD;

D O I：

10.1016/j.jbankfin.2010.09.031

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The expectations hypothesis of the term structure has been decisively rejected in a large empirical literature that spans several decades. In this paper, using a newly constructed dataset of synthetic zero-coupon bond yields, we show that evidence against the expectations hypothesis is substantially weaker in data generated after the widespread publicity of its failure. These results are consistent with the idea that asset pricing anomalies tend to disappear once they are widely recognized. (C) 2010 Elsevier B.V. All rights reserved.

引用

页码：1202 / 1212

页数：11

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