We report that excess returns in the bond market exhibit the same features of short-term momentum and long-term reversals that are observed in the equity market. We test whether these findings can be accounted for within a behavioral framework using the expectations of the short yield that are...

We show that uncertainty about parameters of the short rate model can account for the rejections of the expectations hypothesis for the term structure of interest rates. We assume that agents employ Bayes rule to learn parameter values in the context of a model that is subject to stochastic...