TY  - JOUR
AU  - Evans,Martin D.
AU  - Lewis,Karen K.
TI  - Do Stationary Risk Premia Explain It All?  Evidence from the Term Struct
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 3451
PY  - 1990
Y2  - September 1990
UR  - http://www.nber.org/papers/w3451
L1  - http://www.nber.org/papers/w3451.pdf
N1  - Author contact info:
Martin Evans
Department of Economics
Georgetown University
Washington, DC  20057
Tel: 202-687-1570
E-Mail: evansm1@georgetown.edu

Karen K. Lewis
Department of Finance, Wharton School
2300 SHDH
University of Pennsylvania
Philadelphia, PA 19104-6367
Tel: 215/898-7637
Fax: 215/898-6200
E-Mail: lewisk@wharton.upenn.edu
AB  - Most studies of the expectations theory of the term structure reject the model. However, the significance of the rejections depend strongly upon the form of the test. In this paper, we use the pattern of rejection across maturities to back out the implied behavior of time-varying risk premia and/or market forecasts. We then use a new technique to test whether stationary risk premia alone can be responsible for these rejections. Surprisirj1y, this test is rejected for short maturities up to 6 months, suggesting that time-varying risk premia do not explain it all. We also describe hew this method can be used to test other asset pricing relationships.
ER  -