Term Premium Determinants, Return Enhancement and Interest Rate Predictability Journal Articles

abstract

• This paper investigates whether simple term premium estimation techniques provide potential for return enhancement and interest rate predictability. Using short‐term US government securities, during 1959—93, it is demonstrated that utilization of such knowledge allows investors to enhance returns on fixed income portfolios, provided that other than money market alternatives can be considered as potential repositories of funds. In addition, such knowledge yielded short‐term interest rate predictions that were weakly superior to other methodologies, including the naive no‐change forecast, except during the volatile early 1980s.

authors

• Deaves, Richard

status

• published 

publication date

• April 1998

has subject area

• 1501 Accounting, Auditing and Accountability (FoR)
• 1502 Banking, Finance and Investment (FoR)
• Finance (Science Metrix)

published in

• Journal of Business Finance & Accounting  Journal

keywords

• 35 Commerce, Management, Tourism and Services
• 3502 Banking, Finance and Investment

Digital Object Identifier (DOI)

• 10.1111/1468-5957.00199

start page

• 485

end page

• 499

volume

• 25

issue

• 3-4