THE MONOTONICITY OF THE TERM PREMIUM - ANOTHER LOOK
成果类型：
Article
署名作者：
RICHARDSON, M; RICHARDSON, P; SMITH, T
署名单位：
Duke University
刊物名称：
JOURNAL OF FINANCIAL ECONOMICS
ISSN/ISSBN：
0304-405X
DOI：
10.1016/0304-405X(92)90013-N
发表日期：
1992
页码：
97-105
关键词：
摘要：
This paper reexamines existing evidence regarding the monotonicity of the term premium. Using a recently developed approach for testing inequality constraints, we propose and conduct tests for whether the term premium is monotonic and reach different conclusions from those implied by individual t-statistics on term premiums (even under a Bonferroni-type adjustment). Our results generally support McCulloch's (1987) view that the liquidity preference hypothesis remains unrefuted.