Why Random Walk Models of the Term Structure Are Hard to Reject
发现直接检验有效市场假说会拒绝原假设，但随机游走检验却不会，原因是随机游走检验引入了测量误差，降低了检验效力，从而解释了这一实证矛盾。
Tests of random walk models of the term structure generally fail to reject the null hypothesis, whereas direct tests of the fair game-efficient markets (FGEM) hypothesis generally reject the null. Random walk tests can be interpreted as FGEM tests that add measurement errors to the forward-rate revisions used in direct tests. Our empirical application is consistent with the literature; direct tests strongly reject the null, but random walk tests do not, despite using the same data and numbers of observations. The random walk measurement error is shown to reduce local asymptotic test power, which may explain this empirical puzzle.