Does The Failure of The Expectations Hypothesis Matter for Long - Term Investors ?  

Oleh:

Sangvinatsos, Antonios ; Wachter, Jessica A.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 60 no. 1 (Feb. 2005), page 179-230.
Topik: investors; studies; mathematical models; bonds; stocks; normal distribution; portfolio management; investment policy; expected returns; long term; correlation analysis; hypotheses
Fulltext: p 179.pdf (374.31KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We solve the portfolio problem of a long-run investor when the term structure is Gaussian and when the investor has access to nominal bonds and stock. We apply our method to a three - factor model that captures the failure of the expectations hypothesis. We extend this model to account for time - varying expected inflation, and estimate the model with both inflation and term structure data. The estimates imply that the bond portfolio of a long - run investor looks very different from the portfolio of a mean - variance optimizer. In particular, time - varying term premia generate large hedging demands for long - term bonds.

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