Riding the Yield Curve: Reprise
AbstractWe 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 InfoPaper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 3511.
Date of creation: Nov 1990
Date of revision:
Publication status: published as JPM, Vol. 18, no. 4 (1992): 67-76.
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Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.
Web page: http://www.nber.org
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- Lenz, Rainer, 2010. "Yield Curve Analysis: Choosing the optimal maturity date of investments and financing," MPRA Paper 27781, University Library of Munich, Germany.
- 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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