Journal article
Term Premium Determinants, Return Enhancement and Interest Rate Predictability
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 …
Authors
Deaves R
Journal
Journal of Business Finance & Accounting, Vol. 25, No. 3‐4, pp. 485–499
Publisher
Wiley
Publication Date
April 1998
DOI
10.1111/1468-5957.00199
ISSN
0306-686X