Journal of Financial Economics Vol. 31 No. 1 1992

The monotonicity of the term premium

Matthew Richardson¹; Paul A. Richardson²; Tom Smith³

¹ University of Pennsylvania · ² Lehman College · ³ Duke University

Abstract

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.

DOI

10.1016/0304-405x(92)90013-n

Volume

31

Issue

1

Pages

97-105

Language

en

Sources

bibtex:phds-export.bib openalex crossref

Cite

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