Riding the Yield Curve: Reprise
Robin Grieves, Alan J. Marcus
NBER Working Paper No. 3511
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.
Document Object Identifier (DOI): 10.3386/w3511
Published: Robin Grieves & Alan J. Marcus, 1992. "Riding the Yield Curve," The Journal of Portfolio Management, vol 18(4), pages 67-76.
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