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Publication - Professor George Bulkley

    Revisiting the Campbell-Shiller tests of the Expectations Hypothesis for the Term Structure

    Citation

    Bulkley, IG, Harris, RDF & Nawosah, V, 2011, ‘Revisiting the Campbell-Shiller tests of the Expectations Hypothesis for the Term Structure’. Journal of Banking and Finance, vol 35., pp. 1202 - 1212

    Abstract

    The expectations hypothesis of the term structure has been decisively rejected in a large empirical literature that spans several decades. In this paper, using a newly constructed dataset of synthetic zero coupon bond yields, we show that evidence against the expectations hypothesis is substantially weaker in data generated after the widespread publicity of its failure. These results are consistent with the idea that asset pricing anomalies tend to disappear once they are widely recognized.

    Full details in the University publications repository