Portfolio Implications of Empirical Rejections of the Expectations Hypothesis

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.


Issue Date:
1986-01
Publication Type:
Working or Discussion Paper
DOI and Other Identifiers:
Record Identifier:
https://ageconsearch.umn.edu/record/275402
Language:
English
Total Pages:
19
Series Statement:
Working Paper No. 5-86




 Record created 2018-07-27, last modified 2020-10-28

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