| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w4116 |
| 来源ID | Working Paper 4116 |
| Trends in Expected Returns in Currency and Bond Markets | |
| Martin D. Evans; Karen K. Lewis | |
| 发表日期 | 1992-07-01 |
| 出版年 | 1992 |
| 语种 | 英语 |
| 摘要 | Under conventional notions about rational expectations and market efficiency, expected returns differ from the actual expost returns by a forecast error that is uncorrelated with current information. In this paper, we describe how small departures from conventional notions of rational expectations and market efficiency can produce trends in excess returns. These trends are in addition to the trends typically found in the level of asset prices themselves. We report strong evidence for the presence of additional trends in excess foreign exchange and bond returns. We also estimate the additional trend component in excess returns on foreign exchange and find that it varied between -.8% and 1% for one month returns and between -6% and 8% for three month returns. |
| URL | https://www.nber.org/papers/w4116 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/561465 |
| 推荐引用方式 GB/T 7714 | Martin D. Evans,Karen K. Lewis. Trends in Expected Returns in Currency and Bond Markets. 1992. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w4116.pdf（1074KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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