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dc.contributor.authorDuffee, Gregory R.en_US
dc.date.accessioned2011-01-28en_US
dc.date.accessioned2011-09-27T15:21:20Z-
dc.date.available2011-09-27T15:21:20Z-
dc.date.issued2011en_US
dc.identifier.urihttp://hdl.handle.net/10419/49887-
dc.description.abstractConditional maximum Sharpe ratios implied by fully flexible four-factor and five-factor Gaussian term structure models are astronomically high. Estimation of term structure models subject to a constraint on their Sharpe ratios uncovers properties that hold for a wide range of Sharpe ratios. These robust properties include (a) an inverse relation between a bond's maturity and its average Sharpe ratio; (b) between 15 and 20 percent of annual excess returns to bonds are predictable; and (c) variations in expected excess bond returns are driven by two factors. These factors operate at different frequencies. Nonrobust features include the mean level of the term structure. Unconstrained models imply that investors anticipated much of the decline of interest rates in the 1990s. Constrained models disagree.en_US
dc.language.isoengen_US
dc.publisherJohns Hopkins Univ., Dep. of Economics Baltimore, Md.en_US
dc.relation.ispartofseriesWorking papers // the Johns Hopkins University, Department of Economics 575en_US
dc.subject.ddc330en_US
dc.titleSharpe ratios in term structure modelsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn644824069en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Working Papers, Department of Economics, The Johns Hopkins University

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