Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5090458 | Journal of Banking & Finance | 2011 | 11 Pages |
Abstract
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
George Bulkley, Richard D.F. Harris, Vivekanand Nawosah,