Riding the Yield Curve: Reprise

31 Pages Posted: 28 Jun 2004 Last revised: 10 Aug 2010

See all articles by Robin Grieves

Robin Grieves

Rollins College - Crummer Graduate School of Business

Alan J. Marcus

Boston College - Department of Finance

Date Written: November 1990

Abstract

We investigate the efficacy of riding the yield curve. This strategy dictates holding longer-term treasury bills when the yield curve is upwardsloping. We find that the strategy is surprisingly effective. it stochastically dominates buying and holding shorter-term bills for large subperiods, and nearly dominates for the entire sample period, 1949-1988. Our empirical results suggest that abnormal profit opportunities are available from selectively increasing the maturity of a short-term portfolio.

Suggested Citation

Grieves, Robin and Marcus, Alan J., Riding the Yield Curve: Reprise (November 1990). NBER Working Paper No. w3511. Available at SSRN: https://ssrn.com/abstract=226840

Robin Grieves (Contact Author)

Rollins College - Crummer Graduate School of Business ( email )

Winter Park, FL 32789
United States
1-407-646-2438 (Phone)

Alan J. Marcus

Boston College - Department of Finance ( email )

Fulton Hall
Chestnut Hill, MA 02467
United States
617-552-2767 (Phone)
617-552-0431 (Fax)

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