| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089593 | Journal of Banking & Finance | 2013 | 9 Pages |
Abstract
⺠Our findings contradict recent support for the expectations hypothesis. ⺠Survey data distinguishes between time varying term premia and expectation errors. ⺠As in Fama (2006), market expectations adjust slowly to lower interest rates. ⺠Post 1980s, expectational errors off-set term premia in conventional tests. ⺠This reverses the reinforcing pattern found in Froot (1989).
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Boonlert Jitmaneeroj, Andrew Wood,