Is the Term Premium a Risk Premium?

• Main Authors: Ederington, Louis H., GOH, Jeremy C.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 1999
• Subjects: Securities; risk; Business; Corporate Finance; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/2202; https://ink.library.smu.edu.sg/context/lkcsb_research/article/3201/viewcontent/Term_Premium_1999_pv.pdf
• Institution: Singapore Management University

This paper explores whether excess holding period returns on long vis-a-vis short-term securities behave in a manner that is consistent with (1) market efficiency, (2) the time-varying-term-premium variant of the expectations hypothesis, and (3) theories of the term premium that view it as a reward...