Fixed Income Excess Returns and Time to Maturity

Topics:
Investment and Capital Markets
Tags:
Finance,
Financial Accounting,
Financial Services,
Fixed Income,
Investment,
Maturity Differential
Source:
International Economics and Finance Society

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Overview: The paper explores the relationship between fixed income excess returns and maturity differentials. In a quest to quantify this relationship, it goes beyond testing the monotonicity of excess returns, by exploring the functional form of excess returns' dependence on the maturity differential. It tests whether the monotonicity of excess returns is linked to maturity differential in a linear or nonlinearfashion. Thus, although excess returns increase monotonically with maturity they do so at a decreasing rate.

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Format: PDF | Size: 57KB | Date: Oct 2000 | Pages: 17

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