TY  - JOUR
AU  - Grieves,Robin
AU  - Marcus,Alan J.
TI  - Riding the Yield Curve: Reprise
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 3511
PY  - 1990
Y2  - November 1990
UR  - http://www.nber.org/papers/w3511
L1  - http://www.nber.org/papers/w3511.pdf
N1  - Author contact info:
Alan Marcus
Finance Department
Fulton 334
Boston College
Chestnut Hill, MA  02467
Tel: 617-552-2767
E-Mail: alan.marcus@bc.edu
M2  - featured in NBER digest on 1991-02-01
AB  - 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.
ER  -