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Arbitrage and the Expectations Hypothesis

by: Francis A. Longstaff
The Journal of Finance, Vol. 55, No. 2. (2000), pp. 989-994.

X Abstract

This paper shows that all traditional forms of the expectations hypothesis can be consistent with the absence of arbitrage if markets are incomplete. A key implication is that the validity of the expectations hypothesis is purely an empirical issue; the expectations hypothesis cannot be ruled out on a priori theoretical grounds.

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This article has been bookmarked once, on 2007-08-06.

2007-08-06 User RobHayward , 1 note

Good overview of the expectations hypothesis.

2007-08-06 13:32:29
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