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Revisiting the expectations hypothesis of the term structure of interest rates |
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| Authors: | George Bulkley Vivekanand Nawosah |
| Affiliation: | a Department of Accounting and Finance, University of Bristol, 8 Woodland Road, Bristol BS8 1TN, UK b Xfi Centre for Finance and Investment, University of Exeter, Streatham Court, Rennes Drive, Exeter EX4 4ST, UK c Essex Business School, University of Essex, Wivenhoe Park, Colchester CO4 3SQ, UK |
| Abstract: | The expectations hypothesis of the term structure has been decisively rejected in a large empirical literature that spans several decades. In this paper, using a newly constructed dataset of synthetic zero-coupon bond yields, we show that evidence against the expectations hypothesis is substantially weaker in data generated after the widespread publicity of its failure. These results are consistent with the idea that asset pricing anomalies tend to disappear once they are widely recognized. |
| Keywords: | G12 G14 |
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