NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Riding the Yield Curve: Reprise

Robin Grieves, Alan J. Marcus

NBER Working Paper No. 3511
Issued in November 1990
NBER Program(s):   ME

We investigate the efficacy of riding the yield curve. This strategy dictates holding longer-term treasury bills when the yield curve is upwardsloping. We find that the strategy is surprisingly effective. it stochastically dominates buying and holding shorter-term bills for large subperiods, and nearly dominates for the entire sample period, 1949-1988. Our empirical results suggest that abnormal profit opportunities are available from selectively increasing the maturity of a short-term portfolio.

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Document Object Identifier (DOI): 10.3386/w3511

Published: JPM, Vol. 18, no. 4 (1992): 67-76.

 
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