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Riding the Yield Curve: Reprise / Robin Grieves, Alan J. Marcus.
- Format:
- Book
- Author/Creator:
- Grieves, Robin.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w3511.
- NBER working paper series no. w3511
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- Riding the Yield Curve
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1990.
- Summary:
- We investigate the efficacy of riding the yield curve. This strategy dictates holding longer-term treasury bills when the yield curve is upwardsloping. We find that the strategy is surprisingly effective. it stochastically dominates buying and holding shorter-term bills for large subperiods, and nearly dominates for the entire sample period, 1949-1988. Our empirical results suggest that abnormal profit opportunities are available from selectively increasing the maturity of a short-term portfolio.
- Notes:
- Print version record
- November 1990.
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