Huang, Chao-Hsi; Ederington, Louis H - In: Journal of Financial Research 16 (1993) 2, pp. 89-106
In this paper we examine variance bound tests of the joint hypothesis that (1) bond markets are efficient and (2) the term structure is determined by the expectations hypothesis. Both the Singleton and Shiller tests are shown to be seriously biased toward rejecting the joint hypothesis in finite...