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  1. Review of Quantitative Finance and Accounting
  2. Review of Quantitative Finance and Accounting : Volume 40
  3. Review of Quantitative Finance and Accounting : Volume 40, Issue 1, January 2013
  4. Riding the yield curve: a spanning analysis
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Review of Quantitative Finance and Accounting : Volume 48
Review of Quantitative Finance and Accounting : Volume 47
Review of Quantitative Finance and Accounting : Volume 46
Review of Quantitative Finance and Accounting : Volume 45
Review of Quantitative Finance and Accounting : Volume 44
Review of Quantitative Finance and Accounting : Volume 43
Review of Quantitative Finance and Accounting : Volume 42
Review of Quantitative Finance and Accounting : Volume 41
Review of Quantitative Finance and Accounting : Volume 40
Review of Quantitative Finance and Accounting : Volume 40, Issue 4, May 2013
Review of Quantitative Finance and Accounting : Volume 40, Issue 3, April 2013
Review of Quantitative Finance and Accounting : Volume 40, Issue 2, February 2013
Review of Quantitative Finance and Accounting : Volume 40, Issue 1, January 2013
Are oil, gold and the euro inter-related? Time series and neural network analysis
The role of industry classification in estimating discretionary accruals
Asset write-offs discretion and accruals management in Taiwan: the role of corporate governance
Auditor size, tenure, and bank loan pricing
The impact of multi-dimensional corporate transparency on us firms’ credit ratings and cost of capital
Riding the yield curve: a spanning analysis
Stochastic dominance analysis of CTA funds
Is the realized volatility good for option pricing during the recent financial crisis?
Review of Quantitative Finance and Accounting : Volume 39
Review of Quantitative Finance and Accounting : Volume 38
Review of Quantitative Finance and Accounting : Volume 37
Review of Quantitative Finance and Accounting : Volume 36
Review of Quantitative Finance and Accounting : Volume 35
Review of Quantitative Finance and Accounting : Volume 34
Review of Quantitative Finance and Accounting : Volume 33
Review of Quantitative Finance and Accounting : Volume 32
Review of Quantitative Finance and Accounting : Volume 31
Review of Quantitative Finance and Accounting : Volume 30
Review of Quantitative Finance and Accounting : Volume 29
Review of Quantitative Finance and Accounting : Volume 28
Review of Quantitative Finance and Accounting : Volume 27
Review of Quantitative Finance and Accounting : Volume 26
Review of Quantitative Finance and Accounting : Volume 25
Review of Quantitative Finance and Accounting : Volume 24
Review of Quantitative Finance and Accounting : Volume 23
Review of Quantitative Finance and Accounting : Volume 22
Review of Quantitative Finance and Accounting : Volume 21
Review of Quantitative Finance and Accounting : Volume 20
Review of Quantitative Finance and Accounting : Volume 19
Review of Quantitative Finance and Accounting : Volume 18
Review of Quantitative Finance and Accounting : Volume 17
Review of Quantitative Finance and Accounting : Volume 16
Review of Quantitative Finance and Accounting : Volume 15
Review of Quantitative Finance and Accounting : Volume 14
Review of Quantitative Finance and Accounting : Volume 13
Review of Quantitative Finance and Accounting : Volume 12
Review of Quantitative Finance and Accounting : Volume 11
Review of Quantitative Finance and Accounting : Volume 10
Review of Quantitative Finance and Accounting : Volume 9
Review of Quantitative Finance and Accounting : Volume 8

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Riding the yield curve: a spanning analysis

Content Provider Springer Nature Link
Author Galvani, Valentina Landon, Stuart
Copyright Year 2011
Abstract The average return on long-term bonds exceeds the return on short-term bills by a large amount over short investment horizons. A riding-the-yield-curve investment strategy takes advantage of the higher returns on longer term bonds. This strategy involves the purchase of bonds with maturities longer than the investment horizon and the sale of these bonds, before they mature, at the end of the investment horizon. Most of the literature that evaluates this strategy compares only ex post average returns or Sharpe ratios. In this paper, we use spanning tests to provide formal statistical evidence on the benefits of investing in long bonds when the investment horizon is short. The results for both the United States and Canada indicate that an investor with a short horizon is better off investing in short-term debt instruments than long-term bonds.
Starting Page 135
Ending Page 154
Page Count 20
File Format PDF
ISSN 0924865X
Journal Review of Quantitative Finance and Accounting
Volume Number 40
Issue Number 1
e-ISSN 15737179
Language English
Publisher Springer US
Publisher Date 2012-01-05
Publisher Place Boston
Access Restriction One Nation One Subscription (ONOS)
Subject Keyword Bond market Portfolio diversification Mean–variance spanning Yield curve Finance/Investment/Banking Accounting/Auditing Econometrics Operations Research/Decision Theory
Content Type Text
Resource Type Article
Subject Finance Accounting
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