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• W2110113054 abstract "An ane asset pricing model in which traders have rational but heterogeneous expectations about future asset prices is developed. We use the framework to analyze the term structure of interest rates and to perform a novel three-way decomposition of bond yields into (i) average expectations about short rates (ii) common risk premia and (iii) a speculative component due to heterogeneous expectations about the resale value of a bond. The speculative term is orthogonal to public information in real time and therefore statistically distinct from common risk premia. Empirically we nd" @default.
• W2110113054 created "2016-06-24" @default.
• W2110113054 creator A5037935656 @default.
• W2110113054 creator A5084064646 @default.
• W2110113054 date "2012-08-01" @default.
• W2110113054 modified "2023-09-23" @default.
• W2110113054 title "Speculation, Risk Premia and Expectations in the Yield Curve" @default.
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• W2110113054 hasPublicationYear "2012" @default.
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