haku: @indexterm Term structure of interest rates / yhteensä: 111
viite: 6 / 111
| Tekijä: | Downing, C. Oliner, S. |
| Otsikko: | The term structure of commercial paper rates |
| Lehti: | Journal of Financial Economics
2007 : JAN, VOL. 83:1, p. 59-86 |
| Asiasana: | financial markets term structure of interest rates |
| Vapaa asiasana: | commercial papers |
| Kieli: | eng |
| Tiivistelmä: | The object of the study is to test a generalized expectation hyphotesis in the market for commercial paper. The main data set consists of daily yield indexes constructed from actual market yields for virtually all commercial papers issued by US corporations in the time period 1988-2004. It is shown that the term premia is not constant over time. After controlling year-end effects, considerable support for generalized expectation hypothesis is found. |
SCIMA