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- W2185843247 abstract "Short and long slopes of yield curves have dierent economic and asset pricing implications. First, short slopes are related to non-nancial macroeconomic variables whereas long slopes are to nancial ones. Second, high short slopes predict low excess returns of holding long-term bonds meanwhile high long slopes predict high excess returns. It is because short slopes are high when marginal utilities are decreasing. Third, Cochrane and Piazzesi (2005)’s risk premium factor overshadows the predictabilities of long slopes, but makes those of short slopes even stronger. Fourth, their information cannot be merged into a single component. Fifth, short slopes predict stock returns for shorter holding periods, but long slopes dominate the predictability for longer periods." @default.
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- W2185843247 date "2011-01-01" @default.
- W2185843247 modified "2023-09-27" @default.
- W2185843247 title "Short and Long Slopes of Yield Curves Have Dierent Economic and Asset Pricing Implications" @default.
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