Arbitrage and the Expectations Hypothesis

A-Tier
Journal: Journal of Finance
Year: 2000
Volume: 55
Issue: 2
Pages: 989-994

Score contribution per author:

4.022 = (α=2.01 / 1 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper shows that all traditional forms of the expectations hypothesis can be consistent with the absence of arbitrage if markets are incomplete. A key implication is that the validity of the expectations hypothesis is purely an empirical issue; the expectations hypothesis cannot be ruled out on a priori theoretical grounds.

Technical Details

RePEc Handle
repec:bla:jfinan:v:55:y:2000:i:2:p:989-994
Journal Field
Finance
Author Count
1
Added to Database
2026-01-25