The expectations hypothesis of the term structure has been decisively rejected in a large empirical literature that spans several decades. In this paper, using a newly constructed dataset of synthetic zero coupon bond yields, we show that evidence against the expectations hypothesis is substantially weaker in data generated after the widespread publicity of its failure. These results are consistent with the idea that asset pricing anomalies tend to disappear once they are widely recognized.
|Translated title of the contribution||“Revisiting the Campbell-Shiller tests of the Expectations Hypothesis for the Term Structure”|
|Pages (from-to)||1202 - 1212|
|Number of pages||11|
|Journal||Journal of Banking and Finance|
|Publication status||Published - May 2011|