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dc.contributor.authorHarris, Richard D. F.
dc.contributor.authorBulkley, George
dc.contributor.authorNawosah, Vivekanand
dc.date.accessioned2015-05-29T09:58:45Z
dc.date.issued2015-04-27
dc.description.abstractWe test whether the rejections of the expectations hypothesis can be explained by two behavioral biases: the law of small numbers and conservatism. We use the term structure to decompose excess bond returns into components related to expectation errors and expectation revisions, enabling a direct test of behavioral models using the expectations of market participants. We find systematic patterns in expectation errors, and expectation revisions, which are consistent with these two biases. We show that a trading strategy that exploits these biases delivers significant economic profits and that our results are unlikely to be driven by a time-varying risk premiumen_GB
dc.description.sponsorshipEconomic and Social Research Council (ESRC)en_GB
dc.identifier.citationVol. 58, pp. 179-193en_GB
dc.identifier.doi10.1016/j.jbankfin.2015.03.018
dc.identifier.grantnumberACRR2784en_GB
dc.identifier.urihttp://hdl.handle.net/10871/17347
dc.language.isoenen_GB
dc.publisherElsevieren_GB
dc.relation.urlhttp://www.sciencedirect.com/science/article/pii/S0378426615000953en_GB
dc.rights.embargoreason18 month embargo to comply with publisher's agreement with HEFCEen_GB
dc.rights© 2015, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/en_GB
dc.subjectBehavioral biasen_GB
dc.subjectExpectations hypothesis of the term structure of interest ratesen_GB
dc.subjectRepresentativenessen_GB
dc.subjectLaw of small numbersen_GB
dc.subjectConservatismen_GB
dc.titleCan behavioral biases explain the rejections of the expectation hypothesis of the term structure of interest rates?en_GB
dc.typeArticleen_GB
dc.identifier.issn0378-4266
dc.descriptionArticleen_GB
dc.descriptionThis is the author’s version of a work that was accepted for publication in Journal of Banking and Finance. A definitive version was subsequently published in Journal of Banking and Finance (2015), doi: 10.1016/j.jbankfin.2015.03.018en_GB
dc.identifier.eissn1872-6372
dc.identifier.journalJournal of Banking and Financeen_GB


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