Riding the Yield Curve: Reprise
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.
|Date of creation:||Nov 1990|
|Date of revision:|
|Publication status:||published as JPM, Vol. 18, no. 4 (1992): 67-76.|
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