Ederington, Louis H; Goh, Jeremy C - In: Review of Quantitative Finance and Accounting 13 (1999) 2, pp. 137-51
This paper explores whether excess holding period returns on long vis-a-vis short-term securities behave in a manner that is consistent with (1) market efficiency, (2) the time-varying-term-premium variant of the expectations hypothesis, and (3) theories of the term premium that view it as a...