Erschienen:
Cambridge, Mass: National Bureau of Economic Research, November 1990
Erschienen in:NBER working paper series ; no. w3511
Umfang:
1 Online-Ressource
Sprache:
Englisch
DOI:
10.3386/w3511
Identifikator:
Reproduktionsnotiz:
Hardcopy version available to institutional subscribers
Entstehung:
Anmerkungen:
Mode of access: World Wide Web
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Beschreibung:
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