Arbitrage and the Expectations Hypothesis

@article{citeulike:1537990, 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.}, author = {Longstaff, Francis A.}, citeulike-article-id = {1537990}, comment = {Good overview of the expectations hypothesis. }, journal = {The Journal of Finance}, keywords = {bond, emh, yield}, number = {2}, pages = {989--994}, posted-at = {2007-08-06 13:32:29}, priority = {3}, title = {Arbitrage and the Expectations Hypothesis}, url = {http://www.jstor.org/stable/222530}, volume = {55}, year = {2000} }

TY - JOUR ID - citeulike:1537990 L3 - citeulike-article-id:1537990 N2 - 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. IS - 2 JF - The Journal of Finance EP - 994 TI - Arbitrage and the Expectations Hypothesis VL - 55 SP - 989 KW - bond KW - emh KW - yield N1 - Good overview of the expectations hypothesis. AU - Longstaff, Francis PY - 2000/// UR - http://www.jstor.org/stable/222530 ER -