Hassanein, Medhat; Azzam, Islam - In: Macroeconomics and Finance in Emerging Market Economies 3 (2010) 1, pp. 103-118
Based on asset pricing theory, reward/risk ratios vary positively with maturity of Treasury securities. We study the effect of increasing Treasury bonds' maturity on ex post and ex ante returns and risks in developed and emerging countries. As maturity increases, we show that ex post and ex ante...