Article2000

Arbitrage and the Expectations Hypothesis

53 citations0/0 files storedThe Journal of Finance

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Financial Markets and Investment Strategies Stochastic processes and financial applications Economic theories and models

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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References

1976The arbitrage theory of capital asset pricing 1993Dynamic Asset Pricing Theory.1991Common Factors Affecting Bond Returns 1981A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates 1991Liquidity, Maturity, and the Yields on U.S. Treasury Securities 1996Special Repo Rates 1991Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case 1994Liquidity, Taxes, and Short-Term Treasury Yields

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2004The Expected Illiquidity Premium: Evidence from Equity Index-Linked Bonds 2021Measuring Interest Rate Expectations in Canada 2006Term structure of interest rates and the expectation hypothesis: The euro area

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