The monotonicity of the term premium : A closer look
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Merton, Robert C., 1977. "On the pricing of contingent claims and the Modigliani-Miller theorem," Journal of Financial Economics, Elsevier, vol. 5(2), pages 241-249, November.
- Poterba, James M & Summers, Lawrence H, 1986.
"The Persistence of Volatility and Stock Market Fluctuations,"
American Economic Review,
American Economic Association, vol. 76(5), pages 1142-1151, December.
- James M. Poterba & Lawrence H. Summers, 1984. "The Persistence of Volatility and Stock Market Fluctuations," NBER Working Papers 1462, National Bureau of Economic Research, Inc.
- James M. Poterba & Lawrence H. Summers, 1984. "The Persistence of Volatility and Stock Market Fluctuations," Working papers 353, Massachusetts Institute of Technology (MIT), Department of Economics.
- Roberts, Kevin & Weitzman, Martin L, 1981.
"Funding Criteria for Research, Development, and Exploration Projects,"
Econometric Society, vol. 49(5), pages 1261-1288, September.
- M. L. Weitzman & K. Roberts, 1979. "Funding Criteria for Research, Development and Exploration Projects," Working papers 234, Massachusetts Institute of Technology (MIT), Department of Economics.
- Myers, Stewart C. & Majd, Saman., 1983. "Calculating abandonment value using option pricing theory," Working papers 1462-83., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Brennan, Michael J & Schwartz, Eduardo S, 1985. "Evaluating Natural Resource Investments," The Journal of Business, University of Chicago Press, vol. 58(2), pages 135-157, April.
- Fischer, Stanley & Merton, Robert C., 1984.
"Macroeconomics and finance: The role of the stock market,"
Carnegie-Rochester Conference Series on Public Policy,
Elsevier, pages 57-108.
- Stanley Fischer & Robert C. Merton, 1984. "Macroeconomics and Finance: The Role of the Stock Market," NBER Working Papers 1291, National Bureau of Economic Research, Inc.
- Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters,in: Theory Of Valuation, chapter 8, pages 229-288 World Scientific Publishing Co. Pte. Ltd..
- Robert McDonald & Daniel R. Siegel, 1982. "Investment and the Valuation of Firms When There is an Option to Shut Down," Discussion Papers 529S, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Martin L. Weitzman & Whitney Newey & Michael Rabin, 1981. "Sequential R&D Strategy for Synfuels," Bell Journal of Economics, The RAND Corporation, vol. 12(2), pages 574-590, Autumn.
- Geske, Robert & Shastri, Kuldeep, 1985. "Valuation by Approximation: A Comparison of Alternative Option Valuation Techniques," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(01), pages 45-71, March.
- Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 145-166.
- Kenneth J. Arrow & Anthony C. Fisher, 1974. "Environmental Preservation, Uncertainty, and Irreversibility," The Quarterly Journal of Economics, Oxford University Press, vol. 88(2), pages 312-319.
- Cukierman, Alex, 1980. "The Effects of Uncertainty on Investment under Risk Neutrality with Endogenous Information," Journal of Political Economy, University of Chicago Press, vol. 88(3), pages 462-475, June.
- Brennan, Michael J. & Schwartz, Eduardo S., 1978. "Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(03), pages 461-474, September.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Tzavalis, Elias & Wickens, Michael R, 1997. "Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(3), pages 364-380, August.
- Timothy Cook & Thomas Hahn, 1990. "Interest rate expectations and the slope of the money market yield curve," Economic Review, Federal Reserve Bank of Richmond, issue Sep, pages 3-26.
- Drakos, Konstantinos, 2001. "Fixed income excess returns and time to maturity," International Review of Financial Analysis, Elsevier, vol. 10(4), pages 431-442.
- Ornelas, Jose Renato Haas & Silva Jr., Antonio Francisco de Almeida, 2015.
"Testing the liquidity preference hypothesis using survey forecasts,"
Emerging Markets Review,
Elsevier, vol. 23(C), pages 173-185.
- Jose Renato Haas Ornelas & Antonio Francisco de Almeida Silva Jr, 2014. "Testing the Liquidity Preference Hypothesis using Survey Forecasts," Working Papers Series 353, Central Bank of Brazil, Research Department.
- Timothy Q. Cook, 1998. "Treasury bills," Monograph, Federal Reserve Bank of Richmond, number 1998t.
- Berghaus, Betina & Bücher, Axel, 2014. "Nonparametric tests for tail monotonicity," Journal of Econometrics, Elsevier, vol. 180(2), pages 117-126.
- Tzavalis, Elias, 2004. "The term premium and the puzzles of the expectations hypothesis of the term structure," Economic Modelling, Elsevier, vol. 21(1), pages 73-93, January.
- Xavier Freixas, 1992. "Estructura temporal de tipos de interés: hipótesis teóricas y resultados empíricos," Investigaciones Economicas, Fundación SEPI, vol. 16(2), pages 187-203, May.
- Pornpinun Chantapacdepong, 2007. "Determinants of the time varying risk premia," Bristol Economics Discussion Papers 07/597, Department of Economics, University of Bristol, UK.
- Longstaff, Francis A., 2000. "The term structure of very short-term rates: New evidence for the expectations hypothesis," Journal of Financial Economics, Elsevier, vol. 58(3), pages 397-415, December.
- Patton, Andrew J. & Timmermann, Allan, 2010. "Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts," Journal of Financial Economics, Elsevier, vol. 98(3), pages 605-625, December.
- Elton, Edwin J. & Gruber, Martin J. & Mei, Jianping, 1996. "Return generating process and the determinants of term premiums," Journal of Banking & Finance, Elsevier, vol. 20(7), pages 1251-1269, August.
- Hooker, Mark A., 1999. "The maturity structure of term premia with time-varying expected returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 39(3), pages 391-407.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jfinec:v:18:y:1987:i:1:p:185-192. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/inca/505576 .
We have no references for this item. You can help adding them by using this form .