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| Author: | Drakos, K. |
| Title: | Fixed income excess returns and time to maturity |
| Journal: | International Review of Financial Analysis
2001 : VOL. 10:4, p. 431-442 |
| Index terms: | INCOMES POLICY LIQUIDITY |
| Freeterms: | EXCESS RETURNS |
| Language: | eng |
| Abstract: | The paper explores the relationship between fixed income excess returns and maturity differentia. In a quest to quantify this relationship, the authors go beyond testing the monotonicity of excess returns, by exploring the functional form of excess returns' dependence on the maturity differential. Essentially, the paper tests whether the monotonicity of excess returns is linked to maturity differential in a linear or nonlinear fashion. |
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