Why does the slope of the term structure forecast excess returns ?

  • Gregory R. Duffee
  • Published 2001

Abstract

In the U.S., the slope of the term structure is positively correlated with expected future excess returns to both stocks and long-maturity bonds. This paper empirically investigates possible explanations for this pattern. The results pose a significant challenge for representative agent, consumption-based asset-pricing models. I find that when the term… (More)

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Cite this paper

@inproceedings{Duffee2001WhyDT, title={Why does the slope of the term structure forecast excess returns ?}, author={Gregory R. Duffee}, year={2001} }