This paper has the purpose of testing the expectations hypothesis of the term structure for two corporate bond yields. A new test is developed based on an ARIMA data generation process of the short rate, and on the derivation of a relation between the change in the long rate and revisions of expectations of future short rates. The paper makes the point that adjustment of the change in the long rate to short rate news does not occur instantaneously but is dynamic over time. For this reason a polynomial distributed lag of the rate news, which provides support to the expectations hypothesis, is estimated. This is quite remarkable because the liquidity, term, and default risk premiums are left out of the analysis.