Ex Ante Bond Returns and the Liquidity Preference Hypothesis  

Oleh:

Boudoukh, Jacob ; Richardson, Matthew ; Smith, Tom ; Whitelaw, Robert F.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 54 no. 3 (Jun. 1999), page 1153-1167.
Fulltext: 1153.pdf (94.55KB)

Isi artikel

We provide a formal test of the liquidity preference hypothesis ~LPH!, that is, the monotonicity of ex ante term premiums, using nonparametric estimates that do not require a structural model for conditional expected returns. Although the point estimates of the term premiums are consistent with previous conclusions in the literature regarding violations of the LPH, the test statistics are generally insignificant, even when powerful conditioning information is used. These results illustrate the importance of correctly accounting for correlations across maturities and of formally testing the inequality restrictions implied by the LPH.

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