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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.

Suggested Citation

  • Robin Grieves & Alan J. Marcus, 1990. "Riding the Yield Curve: Reprise," NBER Working Papers 3511, National Bureau of Economic Research, Inc.
  • 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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