Time Varying Term Premia and Traditional Hypotheses about the Term Structure
证明，如果预期假说成立的时间框架与回报测量期不同，它实际上可以隐含时变期限溢价，且这些溢价的性质与观测到的期限溢价一致，从而削弱了实证文献中反对预期假说的论据。
ABSTRACT Empirical evidence of time varying term premia in bond returns is frequently interpreted as evidence against the Expectations Hypothesis. This paper shows that the Expectations Hypothesis can actually imply time varying term premia if the time frame for which the Expectations Hypothesis holds differs from the return measurement period. Furthermore, many of the properties of these term premia are consistent with those of observed term premia. These results are important because they imply that the case against the Expectations Hypothesis is weaker than claimed in the empirical literature.