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Riding the Yield Curve: Reprise

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  • Robin Grieves
  • Alan J. Marcus

Abstract

We investigate the efficacy of riding the yield curve. This strategy dictates holding longer-term treasury bills when the yield curve is upwardsloping. We find that the strategy is surprisingly effective. it stochastically dominates buying and holding shorter-term bills for large subperiods, and nearly dominates for the entire sample period, 1949-1988. Our empirical results suggest that abnormal profit opportunities are available from selectively increasing the maturity of a short-term portfolio.

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Bibliographic Info

Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 3511.

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Date of creation: Nov 1990
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Publication status: published as JPM, Vol. 18, no. 4 (1992): 67-76.
Handle: RePEc:nbr:nberwo:3511

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Cited by:
  1. Lenz, Rainer, 2010. "Yield Curve Analysis: Choosing the optimal maturity date of investments and financing," MPRA Paper 27781, University Library of Munich, Germany.
  2. Lenz, Rainer, 2010. "Analyse der Renditestrukturkurve: Zur Laufzeitenstruktur von Investitions- und Finanzierungsentscheidungen
    [Yield curve analysis]
    ," MPRA Paper 26621, University Library of Munich, Germany.

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